ADAPT - Advanced Prediction Models for Trajectory-Based Operations (TBO)

A numerical recipe for the computation of stationary stochastic processes' autocorrelation function

Many natural phenomena exhibit a stochastic nature that one attempts at modeling by using stochastic processes of different types. In this context, often one is interested in investigating the memory properties of the natural phenomenon at hand. This is usually accomplished by computing the autocorrelation function of the numerical series describing the considered phenomenon. Often, especially when considering real world data, the autocorrelation function must be computed starting from a single numerical series: i.e. with a time-average approach. Hereafter, we will propose a novel way of evaluating the time-average autocorrelation function, based on the preliminary evaluation of the quantit…