Hurst Modeling
Last update : 13/3/2007

ACF_sci - Perform the AutoCorrelation Function of a time series x (Scilab version)

Calling Sequence

[ACF]=ACF_sci(x)

Parameters

Description

Perform the AutoCorrelation Function (ACF) of a time series x (Scilab version). x is the signal with length N. ACF(k)=sum((x(i)-xmoy)(x(i+k)-xmoy))/sum(((x(i)-xmoy))^2)

Examples

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

Authors

Foued Melakessou University of Luxembourg

Bibliography

Intra Project 2004-2007

Used Function

ACF_sci.