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MathGroup Archive 2004

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Re: computation of autocovariance

  • To: mathgroup at smc.vnet.net
  • Subject: [mg46190] Re: computation of autocovariance
  • From: Mariusz Jankowski<mjankowski at usm.maine.edu>
  • Date: Tue, 10 Feb 2004 00:06:08 -0500 (EST)
  • Organization: University of Southern Maine
  • References: <c04ehe$gbr$1@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

Paolo, you must define/initialize autoconvS, for example

autoconV = Table[0,{60}].


and then your code should work. However, it is always be better to use
built-in functions. The same should be calculated as follows:

Method 1: if x is not very, very long you can do

tmp = ListCorrelate[x, x, 1, 0];

then

autoconvS = Take[tmp,60];


Method 2: Best approach is to use (see docs on ListCorrelate) 


autoconvS = ListCorrelate[x, x, {1, Length[x] - 59}, 0]



Bye, Mariusz



>>> paolo<tarpanelli at libero.it> 2/7/2004 11:39:10 PM >>>
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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