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Autocovariance 1.0
File ID: 85543






Autocovariance 1.0
Download Autocovariance 1.0http://www.mathworks.comReport Error Link
License: Shareware
File Size: 10.0 KB
Downloads: 5
Submit Rating:
Autocovariance 1.0 Description
Description: Computes the autocovariance of two columns vectors consistently with the var and cov functions.
autocov computes the autocovariance between two column vectors X and Y with same length N using the Fast Fourier Transform algorithm from 0 to N-2.

The resulting autocovariance column vector acv is given by the formula:

acv(p,1) = 1/(N-p) * sum_{i=1}^{N}(X_{i} - X_bar) * (Y_{i+p} - Y_bar)

where X_bar and Y_bar are the mean estimates:

X_bar = 1/N * sum_{i=1}^{N} X_{i}; Y_bar = 1/N * sum_{i=1}^{N} Y_{i}

It satisfies the following identities:
1. variance consistency: if acv = autocov(X,X), then acv(1,1) = var(X)
2. covariance consistence: if acv = autocov(X,Y), then acv(1,1) = cov(X,Y)

License: Shareware

Related: estimates, sum, satisfies, Bar, y i2bp, identities

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 10.0 KB

Downloads: 5



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