ToBeReviewed/STATISTICS/
a_timecorrelate.pro
Same function as A_CORRELATE but accept array (until 4
dimension) for input and do the autocorrelation or the
autocovariance along the time dimension which must be the last
one of the input array.
This function computes the autocorrelation Px(L) or autocovariance
Rx(L) of a sample population X as a function of the lag (L).
Routine summary
- result = timeauto_cov(X, M, nT, Double=Double, zero2nan=zero2nan)
-
- result = a_timecorrelate(X, Lag, COVARIANCE=COVARIANCE, DOUBLE=DOUBLE)
-
timeauto_cov
Statistics
result = timeauto_cov(X, M, nT, Double=Double, zero2nan=zero2nan)
Parameters
X
in
required
type: array
An Array which last dimension is the time dimension so
size n.
M
nT
Keywords
Double
If set to a non-zero value, computations are done in
double precision arithmetic.
zero2nan
Examples
Version history
Version
$Id: a_timecorrelate.pro 163 2006-08-29 12:59:46Z navarro $
History
a_timecorrelate
Statistics
result = a_timecorrelate(X, Lag, COVARIANCE=COVARIANCE, DOUBLE=DOUBLE)
Parameters
X
in
required
type: array
An Array which last dimension is the time dimension so
size n.
Lag
in
required
type: scalar or vector
A scalar or n-element vector, in the interval [-(n-2), (n-2)],
of type integer that specifies the absolute distance(s) between
indexed elements of X.
Keywords
COVARIANCE
If set to a non-zero value, the sample autocovariance
is computed.
DOUBLE
If set to a non-zero value, computations are done in
double precision arithmetic.
Examples
Define an n-element sample population.
x = [3.73, 3.67, 3.77, 3.83, 4.67, 5.87, 6.70, 6.97, 6.40, 5.57]
Compute the autocorrelation of X for LAG = -3, 0, 1, 3, 4, 8
lag = [-3, 0, 1, 3, 4, 8]
result = a_correlate(x, lag)
The result should be:
[0.0146185, 1.00000, 0.810879, 0.0146185, -0.325279, -0.151684]
Version history
Version
$Id: a_timecorrelate.pro 163 2006-08-29 12:59:46Z navarro $
History
24/2/2000 Sebastien Masson (smasson@lodyc.jussieu.fr)
Based on the A_CORRELATE procedure of IDL
INTRODUCTION TO STATISTICAL TIME SERIES
Wayne A. Fuller
ISBN 0-471-28715-6
Produced by IDLdoc 2.0 on Wed Sep 13 16:32:56 2006.
