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Correlation function

In probability theory and statistics, a correlation function quantifies the statistical dependence between random variables in a stochastic process, typically defined as the expected value of their product, R_X(t_1, t_2) = E[X(t_1) X(t_2)], where X(t) represents the process at times or positions t_1 and t_2.^[1] This function captures how values at different points relate, extending the concept of the correlation coefficient to continuous or spatiotemporal domains, and is fundamental for analyzing random processes like time series or spatial data.^[1] Correlation functions exhibit key properties that ensure their utility in modeling real-world phenomena: they are symmetric, R_X(t_1, t_2) = R_X(t_2, t_1), non-negative definite, and at equal arguments yield the second moment, R_X(t, t) = E[X(t)^2], which relates to variance via the autocovariance function C_X(t_1, t_2) = R_X(t_1, t_2) - \mu_X(t_1) \mu_X(t_2), where \mu_X(t) = E[X(t)] is the mean function.^[1] For the autocovariance function, positive values indicate positive correlation, negative values suggest anticorrelation, and zero implies uncorrelated variables, though this does not guarantee independence.^[1] Beyond statistics, correlation functions play central roles in diverse fields. In signal processing, the autocorrelation function measures a signal's similarity to itself at different lags, aiding in tasks like noise reduction and pattern detection, while the cross-correlation function extends this to compare two signals for alignment or similarity.^[2] In physics, particularly statistical mechanics, they describe spatial or temporal correlations in systems like gases or magnets, such as the pair correlation function g(r), which reveals structural order by indicating the probability of finding particles at separation r relative to a random distribution.^[3] Time-correlation functions further connect to dynamic properties, like diffusion coefficients from velocity autocorrelations in molecular dynamics.^[4]

Overview

General Definition

In probability theory and statistics, the correlation function quantifies the statistical dependence between random variables in a stochastic process, serving as a fundamental measure applicable in various domains such as time series and spatial analysis. For a stochastic process X(t) and possibly another Y(s) parameterized by indices s and t (which may represent spatial positions or time points), the cross-correlation function is typically defined as

R_{XY}(s,t) = E[X(s) Y(t)],

where E[\cdot] denotes the expected value.^[1] When X = Y, this specializes to the autocorrelation function R_X(s,t) = E[X(s) X(t)]. This unnormalized measure captures the second moments and how dependence varies with separation in space or time, providing insight into the process's structure without assuming specific distributions.^[1] A related normalized measure is the correlation coefficient, which quantifies the degree of linear dependence and is defined as

\rho_{XY}(s,t) = \frac{\Cov(X(s), Y(t))}{\sigma_{X(s)} \sigma_{Y(t)}} = \frac{R_{XY}(s,t) - \mu_X(s) \mu_Y(t)}{\sigma_{X(s)} \sigma_{Y(t)}},

where \Cov denotes the covariance, \sigma the standard deviation, and \mu the mean. This normalized measure ranges from -1 to 1, with values near 1 indicating strong positive linear association, near -1 strong negative association, and near 0 weak or no linear dependence. In the bivariate case of two random variables X and Y with means \mu_X and \mu_Y, and standard deviations \sigma_X and \sigma_Y, the correlation coefficient is given by

\rho_{XY} = \frac{E[(X - \mu_X)(Y - \mu_Y)]}{\sigma_X \sigma_Y}.

^[5] For vector-valued random variables \mathbf{X} with mean vector \boldsymbol{\mu} and covariance matrix \boldsymbol{\Sigma}, the correlation matrix \mathbf{C} captures pairwise dependencies, with elements

C_{ij} = \frac{\Sigma_{ij}}{\sqrt{\Sigma_{ii}} \sqrt{\Sigma_{jj}}}.

The diagonal elements of \mathbf{C} are always 1, emphasizing normalized self-correlations. In physics, correlation functions often appear as two-point correlation functions to model interactions in systems like particle distributions.^[6]

Historical Development

The origins of the correlation function trace back to the late 19th century in statistics, where Karl Pearson introduced the correlation coefficient in 1895 as a measure of linear dependence between two variables, particularly in the study of bivariate normal distributions for applications in heredity and biological variation. This foundational work laid the groundwork for quantifying associations in paired data, emphasizing its role in regression analysis. In physics, the conceptual framework for correlation functions emerged in statistical mechanics through Josiah Willard Gibbs's 1902 treatise, which developed ensemble theory to describe average behaviors in systems of many particles, implicitly enabling the later formalization of correlations between particle positions and momenta.^[7] Gibbs's approach provided the probabilistic underpinnings for understanding collective properties in thermodynamic systems, influencing subsequent developments in equilibrium statistical descriptions.^[7] During the 1920s, advancements in time series analysis extended correlation concepts to sequential data, with George Udny Yule introducing serial correlation in his 1927 study of periodicities in sunspot numbers, where he analyzed lagged dependencies to model non-stationary fluctuations.^[8] Building on this, Norbert Wiener advanced the theory in the 1930s and 1940s through his work on generalized harmonic analysis and prediction of stationary time series, formalizing the autocorrelation function as a tool for signal processing and extrapolation in noisy environments. Wiener's contributions, particularly in the Wiener-Khinchin theorem, linked autocorrelation to spectral representations, revolutionizing applications in communication and control systems. In the post-1940s era, correlation functions gained prominence in quantum field theory, where Richard Feynman's diagrammatic perturbation methods from 1949 represented higher-order correlations as sums over Feynman diagrams, facilitating calculations of particle interactions and scattering amplitudes. This graphical approach transformed the computation of correlation functions into a practical tool for quantum electrodynamics and beyond. Key milestones in the mid-20th century included Maurice Priestley's 1981 comprehensive treatment of spectral analysis, which integrated correlation functions with frequency-domain techniques for non-stationary processes, bridging time-domain correlations to evolutionary spectra in engineering and geophysics. By the 1960s, the field evolved toward modern stochastic process theory, shifting emphasis from discrete-time models to continuous processes through rigorous measure-theoretic frameworks, as exemplified in works on Brownian motion and diffusion, enabling broader applications in random fields and filtering.

Mathematical Foundations

Correlation in Probability Distributions

In probability theory, the correlation function for random variables from a stochastic process is defined as R(s,t) = \mathbb{E}[X(s)Y(t)], where X(s) and Y(t) are random variables at times s and t, respectively.^[1] The related covariance function, which captures the centered second-order dependence structure assuming the expectations exist, is given by C(s,t) = R(s,t) - \mathbb{E}[X(s)]\mathbb{E}[Y(t)].^[9]^[10] This serves as a fundamental tool for characterizing joint probability distributions in stochastic processes.^[11] For stationary processes, where statistical properties remain invariant under time shifts, the covariance function simplifies to depend solely on the time lag \tau = t - s, yielding C(\tau).^[12] This lag dependence reflects the process's homogeneity, enabling efficient analysis of temporal correlations without reference to absolute times.^[13] In Gaussian processes, the covariance function plays a pivotal role by fully specifying the multivariate normal distribution of the process at any finite set of points, alongside the mean function.^[14] Specifically, the joint distribution at times t_1, \dots, t_n is normal with mean vector given by the process means and covariance matrix derived from C(s,t), thus determining all probabilistic properties of the process.^[10] The correlation function connects to characteristic functions through Fourier transform relations, where the transform of the covariance yields the spectral density, analogous to how characteristic functions generate moments via their derivatives.^[15] This link facilitates moment-generating properties and spectral analysis of the underlying distributions.^[13] A representative example is the standard Brownian motion under the Wiener measure, where the correlation function is R(s,t) = \min(s,t) (and covariance coincides since the mean is zero), illustrating non-stationary covariance that increases with the minimum time argument.^[16]

Higher-Order Correlation Functions

Higher-order correlation functions generalize the concept of pairwise correlations to interactions involving multiple variables or points, providing a framework for analyzing dependencies beyond linear pairwise relationships. In probability theory and statistics, the n-point correlation function for random variables X_{i_1}(s_1), \dots, X_{i_n}(s_n) is defined as the expected value of their product, C_{i_1 \dots i_n}(s_1, \dots, s_n) = \mathbb{E}[X_{i_1}(s_1) \cdots X_{i_n}(s_n)], which captures the joint moments of the variables.^[17] This raw form includes all possible factorizations, but to isolate irreducible or "connected" contributions that reflect genuine multi-point interactions, the connected correlation functions subtract the products of lower-order correlations, yielding the truncated version: C_{i_1 \dots i_n}^c(s_1, \dots, s_n) = \mathbb{E}[X_{i_1}(s_1) \cdots X_{i_n}(s_n)] - \sum \prod \mathbb{E}[\text{lower-order subsets}], where the sum is over all partitions into disconnected components.^[18] These connected functions are particularly essential in non-Gaussian processes, where higher-order terms reveal nonlinear dependencies and deviations from independence that pairwise correlations cannot detect, such as skewness or kurtosis in distributions.^[19] For centered variables (with zero mean), the connected n-point correlation functions coincide with the cumulants \kappa_n, which measure the intrinsic higher-order structure of the distribution and vanish for Gaussian processes beyond the second order.^[20] This equivalence allows cumulants to serve as a compact representation of connected correlations, facilitating the study of complex systems where Gaussian assumptions fail.^[19] In cosmology, the three-point correlation function exemplifies these concepts, quantifying triple correlations in galaxy clustering to probe non-Gaussian features of the large-scale structure. Defined as \zeta(r_1, r_2, r_3) = \langle \delta(\mathbf{x}) \delta(\mathbf{x} + \mathbf{r_1}) \delta(\mathbf{x} + \mathbf{r_1} + \mathbf{r_2}) \rangle_c (where \delta is the density contrast and the subscript c denotes the connected part), it measures deviations from the hierarchical clustering model and provides insights into primordial non-Gaussianity or bias effects in structure formation.^[21] Such functions are crucial for distinguishing between competing models of cosmic evolution, as they encode information on multiparticle interactions not captured by two-point statistics.

Types of Correlation Functions

Autocorrelation Function

The autocorrelation function quantifies the linear dependence of a stochastic process with itself at different time lags, serving as a key measure of self-similarity in wide-sense stationary processes. For a wide-sense stationary process X(t) with constant mean and autocorrelation depending only on the lag \tau, it is defined as R_X(\tau) = \mathbb{E}[X(t)X(t+\tau)], where the expectation is taken over the ensemble.^[22] The normalized autocorrelation function, often denoted \rho_X(\tau), is then given by \rho_X(\tau) = R_X(\tau)/R_X(0), which ranges between -1 and 1 and provides a dimensionless measure of correlation strength.^[23] Specific properties of the autocorrelation function arise from its definition and the stationarity assumption. At \tau = 0, R_X(0) = \mathbb{E}[X(t)^2], which equals the variance of X(t) if the process has zero mean.^[22] The function attains its maximum absolute value at \tau = 0, since |R_X(\tau)| \leq R_X(0) by the Cauchy-Schwarz inequality applied to the inner product induced by the expectation.^[24] Additionally, R_X(\tau) is an even function, satisfying R_X(-\tau) = R_X(\tau), reflecting the symmetry in time reversibility for stationary processes.^[22] A fundamental relation links the autocorrelation function to the frequency domain via the Wiener-Khinchin theorem, which states that the power spectral density S_X(f) is the Fourier transform of R_X(\tau):

S_X(f) = \int_{-\infty}^{\infty} R_X(\tau) e^{-i 2\pi f \tau} \, d\tau.

This equivalence holds under mild conditions on the process, such as integrability of R_X(\tau), and provides a basis for spectral analysis of stationary signals.^[25] The theorem, originally established in the context of generalized harmonic analysis, underscores the duality between time-domain correlations and frequency-domain power distributions.^[25] As an illustrative example, consider a first-order autoregressive process AR(1), defined by X_t = \phi X_{t-1} + \epsilon_t for t \in \mathbb{Z}, where |\phi| < 1 ensures stationarity and \epsilon_t is white noise with zero mean and variance \sigma^2. The autocorrelation function for this process is R_X(\tau) = \frac{\sigma^2 \phi^{|\tau|}}{1 - \phi^2}, exhibiting exponential decay with lag \tau.^[26] The normalized form \rho_X(\tau) = \phi^{|\tau|} highlights the geometric decay, characteristic of short-memory dependence in AR(1) models.^[26]

Cross-Correlation Function

The cross-correlation function quantifies the linear dependence between two distinct stochastic processes X(t) and Y(t), typically assuming they are wide-sense stationary. It is defined as R_{XY}(\tau) = E[X(t) Y(t + \tau)], where \tau represents the time lag and E[\cdot] denotes the expected value. This function measures how the processes covary as one is shifted relative to the other. For processes with zero mean, R_{XY}(\tau) simplifies to the cross-covariance; in general, it captures both covariance and the product of means.^[27] A normalized version, \rho_{XY}(\tau) = \frac{R_{XY}(\tau)}{\sigma_X \sigma_Y}, where \sigma_X and \sigma_Y are the standard deviations of X(t) and Y(t), bounds the function between -1 and 1, providing a dimensionless measure of correlation strength. Unlike the autocorrelation function, which arises as the special case when X = Y and exhibits even symmetry, the cross-correlation is generally asymmetric: R_{XY}(\tau) \neq R_{XY}(-\tau). Instead, it satisfies R_{XY}(\tau) = R_{YX}(-\tau), reflecting the directional nature of inter-process relationships.^[27]^[28]^[27] This asymmetry enables the detection of lead-lag relationships between processes. A positive peak in R_{XY}(\tau) at a lag \tau > 0 indicates that Y leads X by \tau, as Y(t + \tau) aligns temporally with X(t) to maximize covariance. In signal processing, for deterministic signals, the cross-correlation takes the form R_{XY}(\tau) = \int_{-\infty}^{\infty} x(t) y(t + \tau) \, dt, often used for template matching to identify shifts or similarities between a reference signal x(t) and a target y(t).^[28]^[29] In the frequency domain, the coherence function provides a related measure of linear association, defined as \gamma_{XY}^2(f) = \frac{|S_{XY}(f)|^2}{S_{XX}(f) S_{YY}(f)}, where S_{XY}(f) is the cross-spectral density and S_{XX}(f), S_{YY}(f) are the auto-spectral densities. This normalized quantity, ranging from 0 to 1, indicates the fraction of power in Y at frequency f that is linearly predictable from X. High coherence values suggest strong frequency-specific coupling between the processes.^[28]

Properties and Characteristics

Symmetry and Stationarity

Correlation functions exhibit fundamental symmetry properties that arise from the underlying structure of the stochastic processes they describe. For real-valued processes, the correlation function C(s, t) satisfies C(s, t) = C(t, s), reflecting the symmetry in the joint moments of the random variables involved.^[30] This property ensures that the measure of dependence between variables at times s and t is reciprocal. In the case of complex-valued processes, the correlation function obeys Hermitian symmetry, where C(s, t) = \overline{C(t, s)}, with the bar denoting complex conjugation, which preserves the inner product structure in the complex Hilbert space.^[31] Stationarity imposes additional constraints on the form of the correlation function, particularly in the wide-sense sense. A process is wide-sense stationary if its mean is constant and its correlation function depends only on the time lag \tau = t - s, such that C(s, t) = C(\tau).^[32] This lag dependence simplifies analysis in time series and signal processing, as it implies time-invariance of second-order statistics. For non-stationary processes, the full two-argument form C(s, t) is retained, capturing evolving dependencies over time. A key characteristic of correlation functions is positive semi-definiteness, which guarantees that they can serve as valid covariance functions for probability distributions. Specifically, for any finite set of times t_1, \dots, t_n and complex coefficients c_1, \dots, c_n, the inequality \sum_{i=1}^n \sum_{j=1}^n c_i \overline{c_j} C(t_i, t_j) \geq 0 holds, or equivalently, the matrix with entries C(t_i, t_j) is positive semi-definite.^[33] This property ensures non-negative variances and feasible multivariate distributions, preventing negative probabilities in associated Gaussian processes. Bochner's theorem provides a spectral characterization of these properties for continuous functions on \mathbb{R}. It states that a continuous function C(\tau) is positive definite—and thus a valid correlation function—if and only if it is the Fourier transform of a non-negative finite measure: C(\tau) = \int e^{i \omega \tau} d\mu(\omega), where \mu is a positive measure.^[34] This theorem links the time-domain correlation to the power spectral density in the frequency domain, underpinning applications in harmonic analysis and stationary processes. An illustrative example is the exponential covariance function commonly used in Gaussian processes, given by C(\tau) = \sigma^2 e^{-|\tau| / \lambda}, where \sigma^2 > 0 is the variance and \lambda > 0 is the length scale. This function satisfies symmetry (C(\tau) = C(-\tau)), positive semi-definiteness (as its Fourier transform is a Lorentzian, which is non-negative), and is the correlation for a wide-sense stationary Ornstein-Uhlenbeck process.^[35]

Normalization and Estimation

Normalization of correlation functions scales the raw covariance to produce a dimensionless measure bounded between -1 and 1, facilitating interpretation across different scales of data. The standard Pearson normalization for the correlation coefficient \rho between two variables s and t is given by

\rho = \frac{C_{st}}{\sigma_s \sigma_t},

where C_{st} is the covariance and \sigma_s, \sigma_t are the standard deviations of s and t, respectively. This form assumes linear relationships and normality for optimal properties, but it is widely used due to its simplicity and interpretability. For non-linear or non-parametric monotonic associations, alternatives such as Spearman's rank correlation coefficient provide a robust normalization based on ranked data, computing the Pearson correlation on ranks to bound the measure similarly in [-1, 1]. Spearman's \rho is less sensitive to outliers and does not require normality, making it suitable when distributional assumptions fail. Estimation of correlation functions from finite samples requires careful handling to account for bias and variability, particularly in time series data. For the autocorrelation function in stationary time series, the sample estimator is typically

\hat{R}(\tau) = \frac{1}{n} \sum_{t=1}^{n-\tau} X_t X_{t+\tau},

assuming zero mean for simplicity, though centered versions subtract the sample mean. This biased estimator divides by n rather than n - \tau, leading to attenuation at large lags but simplicity in computation; bias correction can involve dividing by n - \tau for an unbiased autocovariance estimate.^[36] To assess uncertainty in these estimates, confidence intervals rely on the asymptotic variance of the sample autocorrelation. Bartlett's formula provides an approximation for the variance of \hat{\rho}(\tau) as

\text{Var}(\hat{\rho}(\tau)) \approx \frac{1}{n} \left( 1 + 2 \sum_{k=1}^\infty \rho_k^2 \right),

often truncated in practice for processes like MA(q) models, where the sum runs to q. This enables construction of approximate confidence bands, assuming stationarity as a prerequisite. Non-parametric approaches enhance estimation by smoothing the raw sample correlations, mitigating noise in sparse data. Kernel methods, such as the Nadaraya-Watson estimator, apply weighted local averaging to the empirical autocorrelation, using a kernel function (e.g., Gaussian) to smooth over lags and produce a continuous estimate. This is particularly useful for irregularly spaced or non-stationary data where parametric assumptions do not hold. In autoregressive (AR) processes, finite-sample bias affects estimation, often leading to underestimation of correlations near \tau = 0 under positive autocorrelation. For an AR(1) process, this bias in the normalized autocorrelation arises from the dependence structure, with corrections like analytical adjustments or bootstrapping recommended for short series to improve accuracy.^[37]

Applications in Statistics and Signal Processing

Time Series Analysis

In time series analysis, correlation functions, particularly the autocorrelation function (ACF), play a central role in identifying temporal dependencies and structuring models for forecasting and anomaly detection. The ACF measures the linear relationship between observations at different time lags, revealing patterns such as persistence, seasonality, or randomness in sequential data. By examining the decay or oscillation of ACF values, analysts can discern whether a series exhibits short-term correlations, long-memory processes, or white noise characteristics essential for model selection and validation. A key application is in the Box-Jenkins methodology for autoregressive integrated moving average (ARIMA) models, where the ACF and partial autocorrelation function (PACF) guide the identification of model orders. For an ARIMA(p, d, q) process, the ACF is used to determine the autoregressive order p, as it typically decays exponentially or sinusoidally for AR components, while the PACF helps identify the moving average order q, showing a sharp cutoff after lag q. This iterative process ensures the model captures the underlying serial correlations without overfitting, as detailed in the foundational work on time series modeling.^[38] To validate model adequacy, the Ljung-Box test assesses whether residuals resemble white noise by examining the joint significance of ACF values at multiple lags. The test statistic is given by

Q = n(n+2) \sum_{k=1}^{h} \frac{\hat{\rho}_k^2}{n-k},

where n is the sample size, h is the number of lags, and \hat{\rho}_k are the sample autocorrelations; under the null hypothesis of no serial correlation, Q follows a chi-squared distribution with h - p - q degrees of freedom for ARIMA models. A non-significant p-value indicates sufficient correlation capture, confirming the model's fit. This portmanteau test improves upon earlier versions by providing better small-sample performance.^[39] Correlation functions also facilitate time series decomposition into trend, seasonal, and residual components, where ACF patterns highlight non-stationarities. A slowly decaying ACF suggests a dominant trend, while periodic spikes at seasonal lags indicate cyclical effects; residuals should show near-zero correlations post-decomposition to isolate irregular noise. This approach, integral to classical decomposition methods, aids in preprocessing for forecasting by isolating components for separate modeling. For instance, in stock price time series, a slowly decaying ACF often signals long-memory processes, where past values influence future ones over extended periods, as opposed to random walks. This persistence can be quantified using the Hurst exponent H via rescaled range (R/S) analysis, where H > 0.5 indicates positive long-term dependence. Such findings underscore the utility of ACF in detecting non-stationary financial dynamics. In multivariate settings, cross-correlation functions extend to Granger causality testing, determining if one series predicts another by comparing restricted and unrestricted vector autoregressions. Significant lagged cross-correlations suggest that incorporating the predictor improves forecast accuracy for the target series, formalizing directional influences in economic or ecological data without implying true causation. This method relies on prewhitening to isolate relevant lags, enhancing inference in interdependent time series.

Pattern Recognition and Filtering

In signal processing, matched filtering employs cross-correlation between a received noisy signal and a known template to maximize the signal-to-noise ratio (SNR), thereby enhancing detection reliability. The filter's impulse response is the time-reversed and conjugated version of the template, resulting in an output peak that indicates the precise delay at which the template aligns with the signal. This approach, foundational to radar systems, was first formalized by D. O. North in his 1943 analysis of signal discrimination in pulsed carrier systems.^[40] Phase correlation extends normalized cross-correlation into the Fourier domain, computing the inverse Fourier transform of the normalized cross-power spectrum to achieve shift-invariant image registration. By focusing solely on phase differences, it produces a sharp delta-like peak at the translation offset, making it robust to amplitude variations and illumination changes while remaining computationally efficient. This method, introduced by Kuglin and Hines in 1975, is particularly effective for aligning images in computer vision tasks such as motion estimation.^[41] In radar and sonar applications, the ambiguity function serves as a two-dimensional autocorrelation of the transmitted waveform, characterizing resolution in range and Doppler dimensions by plotting correlation values against time delay and frequency shift. Peaks along the axes indicate potential ambiguities in target localization, guiding waveform design to minimize sidelobes for improved discrimination. Originating from Woodward's 1953 work on radar information theory, this function quantifies the inherent trade-offs in pulse compression techniques. Cross-correlation finds practical use in audio processing for echo detection, where it measures similarity between a reference signal and a delayed, attenuated version to identify reverberation paths. For discrete-time signals x and y, the cross-correlation at lag \tau is given by

r_{xy}(\tau) = \sum_{n} x \, y[n + \tau],

with peaks revealing echo delays for subsequent suppression. This technique enhances clarity in environments like teleconferencing by isolating and mitigating acoustic echoes.^[42]^[2] Deconvolution leverages correlation-based inverse filtering to recover an original signal from its blurred or convolved version, often by estimating the system's impulse response through autocorrelation properties. In the frequency domain, this involves dividing the observed spectrum by the filter's transfer function, regularized to handle noise, thus restoring high-frequency details lost in processes like image blurring. Such methods are essential in seismic data analysis and microscopy for reconstructing underlying structures.^[43]

Applications in Physics

Statistical Mechanics

In equilibrium statistical mechanics, correlation functions describe the spatial organization and fluctuations in many-particle systems, such as liquids and solids. The spatial correlation function G(\mathbf{r}) is defined as G(\mathbf{r}) = \langle \rho(\mathbf{0}) \rho(\mathbf{r}) \rangle - \langle \rho \rangle^2, where \rho(\mathbf{r}) is the local density operator and \langle \cdot \rangle denotes the ensemble average over the canonical or grand-canonical distribution.^[44] This function quantifies deviations from the mean density due to interparticle interactions, with G(\mathbf{r}) decaying to zero for large |\mathbf{r}| in systems without long-range order. The Fourier transform of G(\mathbf{r}) yields the structure factor S(\mathbf{k}), which is directly measurable via scattering experiments like X-ray or neutron diffraction and provides insights into the system's microstructure.^[44] A closely related quantity is the pair correlation function g(\mathbf{r}) = \frac{G(\mathbf{r})}{\langle \rho \rangle^2} + 1, which represents the probability of finding a particle at position \mathbf{r} relative to another at the origin, normalized by the average density.^[44] In uniform fluids, g(\mathbf{r}) exhibits oscillations reflecting short-range packing effects and is central to liquid-state theory for computing thermodynamic properties, such as pressure via the virial equation. The structure factor is then S(\mathbf{k}) = 1 + \rho \tilde{g}(\mathbf{k}), where \tilde{g}(\mathbf{k}) is the Fourier transform of g(\mathbf{r}) - 1, highlighting how correlations influence compressibility and scattering intensity at low wavevectors.^[44] To relate total correlations to direct interactions, the Ornstein-Zernike equation is employed: h(\mathbf{r}) = c(\mathbf{r}) + \rho \int c(\mathbf{r}') h(|\mathbf{r} - \mathbf{r}'|) \, d\mathbf{r}', where h(\mathbf{r}) = g(\mathbf{r}) - 1 is the total correlation function and c(\mathbf{r}) is the direct correlation function, capturing irreducible two-body effects screened by the medium.^[45] This integral equation, when combined with a closure approximation like the Percus-Yevick or hypernetted chain, allows approximate solutions for g(\mathbf{r}) in simple fluids, enabling predictions of phase behavior and transport coefficients.^[44] Near phase transitions and critical points, correlation functions reveal long-range behavior essential to critical phenomena. At criticality, G(\mathbf{r}) decays algebraically as G(\mathbf{r}) \sim \frac{1}{r^{d-2+\eta}} for large r, where d is the spatial dimension and \eta is the anomalous dimension exponent (typically small, \eta \approx 0.03 in 3D Ising universality). Away from criticality, correlations decay exponentially beyond a characteristic length \xi, the correlation length, which diverges as \xi \sim |T - T_c|^{-\nu} upon approaching the critical temperature T_c, with \nu the correlation-length exponent. In the two-dimensional Ising model, exact solutions show \eta = \frac{1}{4} and \nu = 1, leading to a power-law divergence \xi \sim |T - T_c|^{-1} at T_c, illustrating how thermal fluctuations lead to power-law correlations and scale invariance at the transition.^[46] Higher-order correlation functions extend this framework to multiparticle interactions, building on the same probabilistic foundations.^[44]

Quantum Field Theory

In quantum field theory, correlation functions, also known as Green's functions or correlators, are defined as the vacuum expectation values of time-ordered products of quantum fields. The fundamental two-point correlation function, which serves as the propagator, is expressed as

G(x,y) = \langle 0 | T \phi(x) \phi(y) | 0 \rangle,

where T denotes the time-ordering operator, \phi is a scalar field, and |0\rangle is the vacuum state. This function encodes the propagation of quantum fluctuations from spacetime point y to x, and in momentum space, it takes the form of the Feynman propagator i / (p^2 - m^2 + i\epsilon) for a free scalar field of mass m.^[47]^[48] For free field theories, Wick's theorem provides a combinatorial rule to evaluate higher-point correlation functions by decomposing time-ordered products into sums of all possible pairwise contractions, where each contraction corresponds to a propagator. Formally, for a product of n fields, the theorem states

T \left( \prod_{i=1}^n \phi(x_i) \right) = \sum \text{(normal-ordered products of pairwise contractions)},

with the sum over all Wick contractions ensuring the correct vacuum expectation value. This theorem, essential for simplifying calculations in perturbation theory, reduces the evaluation of correlators to a finite set of diagrams for free fields. In interacting quantum field theories, the perturbative expansion of n-point correlation functions is systematically represented using Feynman diagrams, which visualize the Dyson series expansion of the S-matrix elements. Each diagram contributes an integral over internal momenta, involving products of propagators (from two-point functions) connected at vertices dictated by the interaction Lagrangian. For instance, the full n-point function arises as a sum over all connected and disconnected diagrams, with the connected parts directly relating to scattering processes via the reduction formula. This diagrammatic method, developed in the late 1940s, enables the computation of higher-order corrections in powers of the coupling constant.^[49] Renormalization is intimately tied to correlation functions, as ultraviolet divergences in loop diagrams are absorbed into redefinitions of fields, masses, and couplings to yield finite, physical results. The scale dependence of renormalized correlation functions is captured by the Callan-Symanzik equation,

\left( \mu \frac{\partial}{\partial \mu} + \beta(g) \frac{\partial}{\partial g} - \gamma \right) G^{(n)}(p_i; \mu, g) = 0,

where \mu is the renormalization scale, g the coupling, \beta the beta function, and \gamma the anomalous dimension; this equation ensures consistency under changes in the cutoff and governs running couplings in asymptotically free or non-free theories. A concrete illustration occurs in scalar \phi^4 theory with interaction \mathcal{L}_\text{int} = -\frac{\lambda}{4!} \phi^4, where the four-point correlation function at tree level and beyond contributes to two-particle scattering. The S-matrix element for scattering is given by

S = 1 + i (2\pi)^4 \delta^4(P_f - P_i) T,

with the T-matrix T extracted from the connected amputated four-point function (1PI diagrams), such as the s-, t-, and u-channel exchanges at one loop, which introduce logarithmic divergences renormalized via counterterms. This connection underscores how correlation functions provide the building blocks for observable scattering amplitudes.^[50]^[51]

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Elementary principles in statistical mechanics - Internet Archive
Jan 3, 2007 · Gibbs, J. Willard (Josiah Willard), 1839-1903. Publication date: 1902. Topics: Statistical mechanics, Thermodynamics. Publisher: New York : C ...Missing: correlation function
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VII. On a method of investigating periodicities disturbed series, with ...
VII. On a method of investigating periodicities disturbed series, with special reference to Wolfer's sunspot numbers. George Udny Yule.<|control11|><|separator|>
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Covariance | Definition based on the expected value - StatLect
Learn how covariance is defined in probability theory by using the expected value. Understand the formula that defines covariance.
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[PDF] Lecture 5. Stochastic processes - UC Davis Math
We will also loosely refer to this quantity as a correlation function, although strictly speaking the correlation function of X1, X2 is equal to their ...
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[PDF] Lesson 5: The Autocovariance Function of a stochastic process
The autocovariance function describes the strength of the linear relationship between random variables, and is defined as γx (t1,t2) = cov(xt1 ,xt2 ).
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[PDF] Lecture 2: Measures of Dependence and Stationarity
... correlation function must depend only on the lag h = s − t, since it is defined as ρx(s, t) = γx(s, t)/(σx,s σx,t), where the numerator can only depend on s − t ...
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[PDF] Stochastic Processes and Random Fields
This relation defines the spectral density of the stationary covariance as being the Fourier transform of the covariance. For a continuous stochastic process ...
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[PDF] Gaussian processes
First, a Gaussian process is completely determined by its mean and covariance functions. This property facili- tates model fitting as only the first- and second ...
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[PDF] Spectral Representation
The covariance function thus resembles the characteristic function of a random variable. Both the spectral distribution and the CDF of a random variable are ...
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https://iopscience.iop.org/article/10.1086/427897/pdf
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THE N-POINT CORRELATION FUNCTIONS OF THE FIRST-YEAR ...
An N-point correlation function is by definition the average product of N ... space–based statistics, such as the N-point correlation function, have a ...
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[PDF] Correlation Functions in Perturbation Theory - UT Physics
summed in terms of correlation functions of fewer fields. Indeed, let's define the connected correlation functions. F conn n. (x1,...,xn) = X connected ...
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Higher-Order Correlations and Cumulants - SpringerLink
In this chapter, we discuss cumulant correlations as natural and intuitive higher-order generalizations of the covariance.
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What is a cumulant really? - MathOverflow
Oct 14, 2013 · Cumulants are also called "connected" correlation functions, and it is so depicted in the diagram above. The n-th moment quantifies the ...
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The Three-Point Correlation Function in Cosmology - astro-ph - arXiv
Jan 27, 2003 · The full three-point correlation function will be a valuable statistic for describing structure formation models.
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[PDF] Stationary processes - Penn Engineering
Stationary processes. 7. Page 8. Autocorrelation function. ▷ From the definition of autocorrelation function we can write. RX (t1, t2) = E [X(t1)X(t2)] ...
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[PDF] 3 : Stochastic Processes, Autocorrelation function. Stationarity. 1
In TS: Autocorrelation function is used to assess numerically the dependence between two adjacent values. Let say that for a moment we observe only two r. v.'s ...
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[PDF] Autocorrelation
We call ρ(k) the autocorrelation function. • Plotted as a function of k it shows us how the dependence pattern alters with the lag.
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Generalized harmonic analysis - Project Euclid
1930 Generalized harmonic analysis. Norbert Wiener. Author Affiliations +. Norbert Wiener1 1Cambridge, Mass., U. S. A.. DOWNLOAD PDF + SAVE TO MY LIBRARY.
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[PDF] Linear Processes
• The first-order autoregressive process, AR(1) is where e t is WN(0 ... Autocorrelation of AR(1). • Dividing by the variance, this implies. • We know.
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[PDF] Signals, Systems and Inference, Chapter 9: Random Processes
9.3.1 Some Properties of WSS Correlation and Covariance Functions. It is easily shown that for real-valued WSS processes x(t) and y(t) the correlation.<|control11|><|separator|>
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[PDF] Bivariate Time Series: Cross-Correlation and Coherence
This provides one of the basic intuitions behind much practical use of cross-correlations: one examines them to look for lead/lag relationships. with ˆγXY (−h) ...
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Understanding Correlation - Technical Articles - All About Circuits
Jan 4, 2017 · This article provides insight into the practical aspects of correlation, specifically the applications of autocorrelation and cross-correlation.
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[PDF] Random Processes, Correlation, Power Spectral Density, Threshold ...
Nov 20, 2015 · An auto-correlation functions can be computed from the samples drawn along the time series, for the each of the 100 time records in the ensemble ...
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[PDF] Stochastic Processes 2
Sep 26, 2020 · A complex-valued function g of one variable is called Hermitian, if g(−t) = g(t). ∀t ∈ T. Theorem 5: Any positive semidefinite function is also ...<|control11|><|separator|>
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10.1.4 Stationary Processes - Probability Course
A random process is called weak-sense stationary or wide-sense stationary (WSS) if its mean function and its correlation function do not change by shifts in ...
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[PDF] 2. Positive semidefinite matrices
• the covariance matrix is positive semidefinite: for all a,. a. TΣa = aT E ((x − 𝜇)(x − 𝜇))T)a = E (aT (x − 𝜇)). 2. ≥ 0. a. T. 𝜇 is the ...
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[PDF] On Bochner's and Polya's Characterizations of Positive-Definite ...
Oct 27, 2016 · Positive-definite kernel functions are fundamental elements of kernel methods and Gaussian processes. A well-known construction of such ...
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[PDF] Covariance Functions - Gaussian Processes for Machine Learning
Under the Gaussian process view it is the covariance function that defines nearness or similarity.
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1.3.3.1. Autocorrelation Plot - Information Technology Laboratory
Purpose: Check Randomness, Autocorrelation plots (Box and Jenkins, pp. 28-32) are a commonly-used tool for checking randomness in a data set.
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[PDF] Note on the bias in the estimation of the serial correlation coefficient ...
Our approximation formulas apply also to AR(1) processes with constant but unknown variance, and asymptotic stationary. AR(1) processes (transient behaviour).
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Time Series Analysis | Wiley Series in Probability and Statistics
Jun 12, 2008 · This book covers stochastic models, forecasting, model building, transfer functions, control schemes, and includes exercises and problems.
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https://www.microwavejournal.com/articles/25703-optimizing-radar-matched-filters
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http://boutigny.free.fr/Astronomie/AstroSources/Kuglin-Hines.pdf
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Optimizing Radar Matched Filters | 2016-01-15 - Microwave Journal
Jan 14, 2016 · Pulse compression radar achieves processing gain by matched filtering. First described by D. O. North in 1943 at RCA Princeton Laboratories, ...Missing: seminal | Show results with:seminal
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[PDF] the phase correlation image alignment method - Free
163-165. PAPER WEAM 4-5. Abstract. THE PHASE CORRELATION IMAGE ALIGNMENT METHOD. C. D. Kuglin and D. C. Hines. Signal Processing Laboratory. Lockheed Palo Alto ...
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[PDF] Acoustic signal detection through the cross-correlation method in ...
These techniques are shown to provide high signal to noise ratio, good signal discernment from very close echoes and accurate detection of signal arrival time.
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Deconvolution
Deconvolution is the process of filtering a signal to compensate for an undesired convolution. The goal of deconvolution is to recreate the signal as it existed ...
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Theory of Simple Liquids - ScienceDirect.com
Theory of Simple Liquids. Book • Third Edition • 2006. Authors: Jean-Pierre Hansen and Ian R. McDonald ...
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The Ornstein–Zernike equation and critical phenomena in fluids
Dec 31, 2008 · It is a microscopic (statistical) approach as the OZ equation contains only the correlation functions characterizing the microstructure of a ...Missing: original | Show results with:original
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[PDF] Quantum Field Theory I, Chapter 8
Such time-ordered correlation functions have multiple applications in QFT, for ... ). Two-Point Function at First Order. The contributions to the ...
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[PDF] Quantum Field Theory I
Aug 8, 2006 · 1.5.10 Time Ordered Two-Point Function. As an example for the time ordered correlation functions we write down the time ordered two-point ...
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[PDF] Correlation Functions and Diagrams - UMD Physics
Correlation function of fields are the natural objects to study in the path integral formulation. They contain the physical information we are interested in ( ...
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[PDF] 1 Lagrangian and Green functions in d dimensions
Page 4. 1.5 Four-point scattering amplitude. The sum of all one-loop truncated diagrams is. iΓ4. (1.23). The one-loop external leg corrections yield. 4. Y i=1.
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[PDF] 4 Perturbative Evaluation of the Path Integral: λφ4 Theory - UF Physics
Sep 4, 2019 · diagram a four-point function, or a two-point function if two of the four legs ... understood if we interpret ˜Γ(4) as the scattering amplitude ...