AUTOCOR

Purpose:

Macro. Performs a time domain auto-correlation of a series.

Syntax:

AUTOCOR(series)

series

-

A series.

Returns:

A series or table.

Expansion:

CONV(S, REVERSE(S))/2*SERSIZE(S)

Example:

W1: gsin(128, 1/128, 4.0)

W2: autocor(W1)

 

calculates the auto-correlation of a sine wave.

Example:

W1: grand(128, 1/128)

W2: autocor(W1)

 

calculates the auto-correlation of the random series.

Remarks:

AUTOCOR is often used to indicate how "similar" a waveform is to itself. The auto-correlation of the above sine wave shows several distinct peaks, indicating that the series at time t is similar to the series at time t+T.

 

The auto-correlation of the random series shows only one distinct peak, indicating that the series is correlated at time t=0 (as are all series) and dissimilar elsewhere.

 

Use ACORR to specify normalization factors.

See Also:

ACORR

ACOV

CONV

CROSSCOR

FACORR

FFT

PEARSON