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MathGroup Archive 2004

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computation of autocovariance

  • To: mathgroup at smc.vnet.net
  • Subject: [mg46144] computation of autocovariance
  • From: "paolo" <tarpanelli at libero.it>
  • Date: Sat, 7 Feb 2004 23:36:00 -0500 (EST)
  • Sender: owner-wri-mathgroup at wolfram.com

I am computing the autocovariance, with temporal lags from 1 to 60, of a time serie but my procedure does not works. 
Can you help me?

x={timeserie}

For[j=1,j<61,j++,
    autocovS[[j]]=1/Length[x]-j  +  Sum[(x[[i]]-Mean[x])*(x[[i+j]]-Mean[x]),{i,1,Length[x]-j-1,1}]]

when i evaluate the procedure, Mathematica reply

"Part specification autocovS?j? is longer than depth of object."

thanks

Paolo Tarpanelli



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