acor

acor

In probability theory and statistics, auto-correlation is a measure of how much one random variables is correlated with itself at different offsets.

References

• http://en.wikipedia.org/wiki/Autocorrelation

acor(M)

This function returns a vector with auto-correlations for different offsets. All matrices are treated as vectors.

Argument M

Matrix

Returns 1. entry

Matrix

Example

acor(3 + randn(100, 1))

Gives the auto-correlation for a normal dirstributed random variables of variance 1 and different offsets.

acor(M,nLag)

No description available.

Argument M

Matrix

Argument nLag

Scalar

Returns 1. entry

Matrix

Example

acor(3+randn(100,1), 4)

Gives the first 4 auto-correlations for a normal dirstributed random variables of variance 1.