Correlations and variance?

  • Thread starter Shaddyab
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  • #1
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What is the difference between Auto-correlation and auto-variance?
The same for cross-correlation and cross-variance?
 

Answers and Replies

  • #2
mathman
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The essential difference in both cases is a matter of normalization. The correlations are obtained from the cross- or co- variances by dividing by the square root of the product of the variances of the individual variables being correlated. As a result the correlations are limited in magnitude to be between 0 and 1.
 

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