Autocorrelation, expectation, moment

  • Thread starter vptran84
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What is the relationship between Expectations, Moments, and Autocorrelation. Can somone please please give me some examples? thanks
 

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mathman
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Let X(t) be a stochastic process and let E(Y) be the expectation of Y.

E(X(t)) is the first moment
E(X(t)n) is the nth moment
E(X(t)X(s)) is the autocorrelation as a function of t and s. If the process is stationary, it depends on (t-s).
 

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