NCL Website header
NCL Home > Documentation > Functions > General applied math

esacv

Computes sample auto-covariances

Prototype

	function esacv (
		x         : numeric,  
		mxlag [1] : integer   
	)

	return_val  :  numeric

Arguments

x

An array of any numeric type or size. The rightmost dimension is usually time.

mxlag

A 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An array of the same size as x except that the rightmost dimension has been replaced by mxlag+1.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-covariances 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)]/(N-1)      ; auto
     
The dimension sizes(s) of c are a function of the dimension sizes of the x and y arrays. The following illustrates dimensioning:

        x(N), y(N)          c(mxlag)
        x(N), y(K,M,N)      c(K,M,mxlag)
      x(I,N), y(K,M,N)      c(I,K,M,mxlag)
    x(J,I,N), y(L,K,M,N)    c(J,I,L,K,M,mxlag)
    
special case when dimensions of all x and y are identical:
    x(J,I,N), y(J,I,N)      c(J,I,mxlag)
    
When calculating lag auto-covariances, 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 covariance coefficients calculated using qAve and qStd based on the entire series can lead to covariance coefficients that are > 1. or < -1. This is because the subset (N-k) points might be a series with slightly different statistical characteristics.

See Also

esacr, esccr, esccv, escorc, escorc_n, escovc

Examples

Example 1

The following will calculate the auto-covariance for a one dimensional array at 11 lags (0->10). The result is a one-dimensional array of length 11.

        acv = esacv(x,10)   ; acv(0:10)
     
Example 2: The following will calculate the auto-covariance for a three-dimensional array x(nlat,nlon,time) at mxlag + 1 lags (0->mxlag). The result is a three-dimensional array of size(nlat,nlon,mxlag+1)
     mxlag = 10
     acv   = esacv(x,mxlag) ; acv(nlat,nlon,mxlag+1)