Wednesday 11 May 2016

autocorrelation - Does the auto-correlation function of stationary random process always converge?


The auto-correlation function of the stationary random process only depends on the time difference $\tau$.


http://web.ntpu.edu.tw/~yshan/chapter6_han.pdf


64th slide of this lecture note mentions that for a zero-mean process, the autocorrelation converges to zero as $\tau$ goes to infinity.


I want to know why.





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