ESS210B
Prof. Jin-Yi Yu
Autocovariance
Function
qOriginally, autocorrelation/autocovariance function is used to estimate
the dominant
periods in the time series.
qThe autocovariance is the covariance of a variable with itself at some other time, measured by a time lag
(or lead) t.
qThe autocovariance as a function of the time lag (t and L):
