
esacr
Computes sample auto-correlations.
Prototype
function esacr ( x : numeric, mxlag [1] : integer ) return_val : numeric
Arguments
xAn array of any numeric type or size. The rightmost dimension is usually time.
mxlagA scalar integer. It is recommended that 0 <= mxlag <= N/4. This is because the correlation algorithm(s) use N rather than (N-k) values in the denominator (Chatfield Chapter 4).
Return value
An array of the same size as x except that the rightmost dimension has been replaced by mxlag+1. Double if x is double, float otherwise.
Description
Computes sample auto-correlations using the equations found in Chatfield
[The Analysis of Time Series, 1982, Chapman and Hall].
Missing values are allowed.
Algorithm: Here, q(t) and q(t+k) refer to the rightmost dimension.
k runs from 0 to mxlag.
c(k) = SUM [(q(t)-qAve)*(q(t+k)-qAve)}]/qVarThe dimension shape of c is a function of the dimension shape of the x arrays. The following illustrates dimensioning:
x(N) c(mxlag) x(M,N), c(M,mxlag) x(K,M,N) c(K,M,mxlag) x(L,K,M,N) c(L,K,M,mxlag)
When calculating lag auto-correlations, Chatfield (pp. 60-62, p. 173)
recommends using the entire series (i.e. all non-missing values) to
estimate mean and standard deviation rather than (N-k) values. The
reason is better mean-square error properties.
There are trade-offs to be made. For example, it is possible that
correlation coefficients calculated using qAve and qStd based on the
entire series can lead to correlation coefficients that are > 1. or
< -1. This is because the subset (N-k) points might be a series with
slightly different statistical characteristics.
Another simple reference for autocorrelation is here.
See Also
esacv, esccr, esccv, escorc, escorc_n, escovc, equiv_sample_size
Examples
Example 1
The following will calculate the auto-correlation for a one dimensional array x(N) at 11 lags (0->10). The result is a one-dimensional array of length 11.
acr = esacr(x,10) ; acr(0:10)Example 2 The following will calculate the auto-correlation for a three-dimensional array x(nlat,nlon,time) at mxlag + 1 lags (0->mxlag).
mxlag = 10 acr = esacr(x,mxlag) ; acr(nlat,nlon,mxlat+1)