Gives analytic formulas to calculate autocovariance matrix and autocorrelation matrix for averaged Wiener process with equal-distance time points. Is supplemented with Python numpy code to verify those formulas with a Monte Carlo simulation.
variance
autocorrelation
wiener-process
autocovariance
averaged-wiener-process
autocovariance-matrix
autocorrelation-matrix
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Updated
Apr 23, 2021 - HTML