4.6.2 Correlations, Autocorrelations and Cross Correlations

4.6.2  Correlations, Autocorrelations and Cross Correlations

If terms of a stochastic process were IID, only unconditional correlations cor(tXi, tXj) between components of each term could be nonzero. Absent an IID condition, two other types of unconditional correlations arise. There are correlations between corresponding components of two terms lagged a period k apart, cor(tXi, tkXi). These are called autocorrelations with lag k. There are also correlations between distinct components of terms lagged a period k apart, cor(tXi, tkXj). These are called cross correlations with lag k.