Autocorrelation and Partial Autocorrelation with NaNs

Version 1.0.0.0 (3.41 KB) by Fabio
Sample Autocorrelation and Partial Autocorrelation Function (ACF and PACF) on time-series with NaNs
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Updated 9 Oct 2013

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NANAUTOCORR and NANPARCORR calculate the nlag autocorrelation and partial autocorrelation coefficients for a data vector containing NaNs. The MATLAB function CORR is used and allows to exclude couples of data including NaNs. Confidence boundaries for non-significant coefficients are given using Bartlett's formula, with the hypothesis of asymptotic normality. Based on the MATLAB function CORR. Any feedback or suggestion is appreciated.

Cite As

Fabio (2024). Autocorrelation and Partial Autocorrelation with NaNs (https://www.mathworks.com/matlabcentral/fileexchange/43840-autocorrelation-and-partial-autocorrelation-with-nans), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2011a
Compatible with any release
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Version Published Release Notes
1.0.0.0