Hurst Modeling
Last update : 13/3/2007

ACF_nb - Perform the unbiaised and consistent AutoCorrelation Function of a time series x

Calling Sequence

[ACF]=ACF_nb(x)

Parameters

Description

Perform the unbiaised and consistent AutoCorrelation Function (ACF) of a time series x. x is the signal with length N. ACF(k)=1/(N-k)*sum[k=0:N-k-1]x(k)x(k-n).

Examples

  x=read('./demos/fgn',-1,1);
  ACF=ACF_nb(x);
  scf;
  subplot(2,1,1);plot(x);xtitle('x');
  subplot(2,1,2);plot(ACF);xtitle('unbiaised ACF');
  

Authors

Foued Melakessou University of Luxembourg

Bibliography

Intra Project 2004-2007

Used Function

ACF_nb.