I don't seem to understand the fundamental difference between variance and autocovariance.
Wikipedia article on Covariance:
The variance is a special case of the covariance in which the two variables are identical.
Wikipedia article on Autocovariance:
The autocovariance is a function that gives the covariance of the process with itself at pairs of time points.
Can you help me understand the difference? Thanks a lot.
Autocovariance is used to identify the type of periodicity that a time series has. It measures how well the changes in a variable correspond to changes that happened to itself in the past.
Covariance is used to see how well two variables correspond to each other - is there some sort of relationship between them?