CorrelationFunction

CorrelationFunction[data, hspec] estimates the correlation function at lags hspec from data.

CorrelationFunction[proc, hspec] represents the correlation function at lags hspec for the random process proc.

CorrelationFunction[proc, s, t] represents the correlation function at times s and t for the random process proc.

Examples

Estimate correlation from data:

data = RandomReal[1, 100];
CorrelationFunction[data, {1, 2, 3}]

Correlation function of a process:

CorrelationFunction[WienerProcess[], s, t]
(* Min[s, t] *)

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