Autocovariance
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)
Cite As
Jacques Burrus (2024). Autocovariance (https://www.mathworks.com/matlabcentral/fileexchange/35915-autocovariance), MATLAB Central File Exchange. Retrieved .
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- Signal Processing > Signal Processing Toolbox > Digital and Analog Filters > Digital Filter Design > Adaptive Filters >
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Inspired by: autocov.m
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1.0.0.0 |