Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Autocorrelation, expectation, moment

  1. May 12, 2005 #1
    What is the relationship between Expectations, Moments, and Autocorrelation. Can somone please please give me some examples? thanks
     
  2. jcsd
  3. May 12, 2005 #2

    mathman

    User Avatar
    Science Advisor
    Gold Member

    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).
     
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Have something to add?



Similar Discussions: Autocorrelation, expectation, moment
Loading...