The averaged Wiener process autocovariance and autocorrelation matrices and code to verify those with a Monte Carlo simulation
This repository gives analytic formulas to calculate the autocovariance matrix and autocorrelation matrix for an averaged Wiener process with equal-distance time points. Those matrices are supplemented with Python numpy code to verify those formulas with a Monte Carlo simulation.
The file is in the format for Jupyter Notebook / JupyterLab.
The html rendition is best viewed at the URL https://ipgmvq.github.io/averaged_wiener_process_autocorrelation_autocovariance/wiener.html .