5-4 Some Notation and Concepts So if the process is covariance stationary, all the variances are the same and all the covariances depend on the difference between t, and t. The moments E(y-E(y)(y+s-E(y+s)=ys,s=0,1,2, are known as the covariance function The covariances, y are known as autocovariances However, the value of the autocovariances depend on the units of measurement of It is thus more convenient to use the autocorrelations which are the autocovariances normalised by dividing by the variance. ,s=0,1,2,… If we plot t against S=0, 1, 2,. then we obtain the autocorrelation function(acf or correlogram5-4 • So if the process is covariance stationary, all the variances are the same and all the covariances depend on the difference between t 1 and t 2 . The moments , s = 0,1,2, ... are known as the covariance function. • The covariances,  s , are known as autocovariances. • However, the value of the autocovariances depend on the units of measurement of yt . • It is thus more convenient to use the autocorrelations which are the autocovariances normalised by dividing by the variance: , s = 0,1,2, ... If we plot  s against s=0,1,2,... then we obtain the autocorrelation function (acf) or correlogram. Some Notation and Concepts    s s = 0 E y E y y E y t t t s t s s ( − ( ))( + − ( + )) = 