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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


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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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