Timeline for logic of autocovariance in time series
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Sep 8, 2019 at 14:07 | comment | added | mlofton | Note that the covariance at lag zero is defined as the variance of the series. | |
| Sep 8, 2019 at 14:04 | comment | added | mlofton | Hi: the auto-covariance ( or autocorrelation ) is just the covariance ( or correlation ) of a series on the lagged version of itself. So, you take a series, $X_t$ say and the covariance at lag 1 is, the covariance of $X_t$ with itself but lagged by 1 period. So, it takes the pairs $(X_t, X_{t-1}), (X_{t-1}, X_{t-2}), \ldots (X_{t-n}, X_{t-(n+1)})$ and calculates the covariance. A similar process for lags $2, .\ldots$ and lag $n$. | |
| Sep 8, 2019 at 11:23 | history | edited | Richard Hardy |
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| Sep 8, 2019 at 11:20 | history | asked | Chicago1988 | CC BY-SA 4.0 |