BUILT-IN MATHEMATICA SYMBOL
AbsoluteCorrelationFunction
- AbsoluteCorrelationFunction is also known as the autocorrelation function.
- AbsoluteCorrelationFunction for a process proc with value
at time t is given by:
-
- AbsoluteCorrelationFunction[proc, h] is defined only if proc is a weakly stationary process and is equivalent to AbsoluteCorrelationFunction[proc, 0, h].
- AbsoluteCorrelationFunction[{x1, ..., xn}, h] is equivalent to
.
- When data is TemporalData containing an ensemble of paths, the output represents the average across all paths.
- The following specifications can be given for hspec:
-
|  | at time or lag |
| {max} | unit spaced from 0 to  |
| {min,max} | unit spaced from  to  |
| {min,max,d} | from  to  in steps of d |
| {{1,2,...}} | use explicit  |
Estimate the absolute correlation function at lag 2:
| Out[1]= |  |
Sample the absolute correlation function for a random sample from an autoregressive time series:
| Out[2]= |  |
The absolute correlation function for a discrete-time process:
| Out[1]= |  |
| Out[2]= |  |
The absolute correlation function for a continuous-time process:
| Out[1]= |  |
| Out[2]= |  |
New in 9
x[t]]
