Autocovariance

In probability theory and statistics, given a stochastic process, the autocovariance is a function that gives the covariance of the process with itself at pairs of time
points. Autocovariance is closely related to the autocorrelation of the process in question.

Auto-covariance of stochastic processes

Definition

With the usual notation for the expectation operator, if the stochastic process has the mean function , then the autocovariance is given
by[1]: p . 162 

   

where and are two instances in time.

Definition for weakly stationary process

If is a weakly stationary (WSS) process, then the following are true:[1]: p . 163 

for all

and

for all

and

where is the lag time, or the amount of time by which the signal has been shifted.

The autocovariance function of a WSS process is therefore given by:[2]: p . 517 

 
 

   
(Eq.2)

which is equivalent to

Normalization

It is common practice in some disciplines (e.g. statistics and time series analysis) to normalize the autocovariance function to get a time-dependent Pearson
correlation coefficient. However in other disciplines (e.g. engineering) the normalization is usually dropped and the terms "autocorrelation" and "autocovariance"
are used interchangeably.

The definition of the normalized auto-correlation of a stochastic process is

If the function is well-defined, its value must lie in the range , with 1 indicating perfect correlation and −1 indicating perfect anti-correlation.

For a WSS process, the definition is

where

Properties

Symmetry property

[3]: p.169 
respectively for a WSS process:

[3]: p.173 

Linear filtering

The autocovariance of a linearly filtered process

is

Calculating turbulent diffusivity

Autocovariance can be used to calculate turbulent diffusivity.[4] Turbulence in a flow can cause the fluctuation of velocity in space and time. Thus, we are able to
identify turbulence through the statistics of those fluctuations.

Reynolds decomposition is used to define the velocity fluctuations (assume we are now working with 1D problem and is the velocity along
direction):

where is the true velocity, and is the expected value of velocity. If we choose a correct , all of the stochastic components of the
turbulent velocity will be included in . To determine , a set of velocity measurements that are assembled from points in space, moments in time or
repeated experiments is required.

If we assume the turbulent flux ( , and c is the concentration term) can be caused by a random walk, we can use Fick's laws of diffusion to
express the turbulent flux term:

The velocity autocovariance is defined as

or

where is the lag time, and is the lag distance.

The turbulent diffusivity can be calculated using the following 3 methods:

1. If we have velocity data along a Lagrangian trajectory:

2. If we have velocity data at one fixed (Eulerian) location:

3. If we have velocity information at two fixed (Eulerian) locations:

where is the distance separated by these two fixed locations.

Auto-covariance of random vectors

See also
Autoregressive process
Correlation
Cross-covariance
Cross-correlation
Noise covariance estimation (as an application example)

References
1. Hsu, Hwei (1997). Probability, random variables, and random processes (https://archive.org/details/schaumsoutlineof00hsuh). McGraw-Hill.
ISBN 978-0-07-030644-8.
2. Lapidoth, Amos (2009). A Foundation in Digital Communication. Cambridge University Press. ISBN 978-0-521-19395-5.
 3. Kun Il Park, Fundamentals of Probability and Stochastic Processes with Applications to Communications, Springer, 2018, 978-3-319-68074-3
4. Taylor, G. I. (1922-01-01). "Diffusion by Continuous Movements" (https://zenodo.org/record/1433523/files/article.pdf) (PDF). Proceedings of
the London Mathematical Society. s2-20 (1): 196–212. doi:10.1112/plms/s2-20.1.196 (https://doi.org/10.1112%2Fplms%2Fs2-20.1.196).
ISSN 1460-244X (https://www.worldcat.org/issn/1460-244X).

Further reading
Hoel, P. G. (1984). Mathematical Statistics (Fifth ed.). New York: Wiley. ISBN 978-0-471-89045-4.
Lecture notes on autocovariance from WHOI (https://web.archive.org/web/20060428122150/http://w3eos.whoi.edu/12.747/notes/lect06/l06s0
2.html)

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