Cross-correlation matrix: Difference between revisions

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For [[stochastic process]]es, including those that arise in [[statistical mechanics]] and Euclidean [[quantum field theory]], a '''correlation function''' is the [[correlation]] between [[random variable]]s at two different points in space or time. If one considers the correlation function between random variables at the same point but at two different times then one refers to this as the '''autocorrelation function'''. If there are multiple random variables in the problem then correlation functions of the ''same'' random variable are also sometimes called autocorrelation. Correlation functions of different random variables are sometimes called '''cross correlations'''.