Moments of a random process

We defined the moments of a random variable and joint moments of random variables. We can define all the possible moments and joint moments of a random process . Particularly, following moments are important.

•  Mean of the random process at

•  .

Note that

•  The autocovariance function of the random process at time is defined by

These moments give partial information about the process.

The ratio is called the correlation coefficient.

The autocorrelation function and the autocovariance functions are widely used to characterize a class of random process called the wide-sense stationary process.