       Re: computation of autocovariance

• To: mathgroup at smc.vnet.net
• Subject: [mg46236] Re: computation of autocovariance
• From: Jens-Peer Kuska <kuska at informatik.uni-leipzig.de>
• Date: Thu, 12 Feb 2004 07:16:01 -0500 (EST)
• Organization: Universitaet Leipzig
• References: <c04ehe\$gbr\$1@smc.vnet.net>
• Sender: owner-wri-mathgroup at wolfram.com

```Hi,

this is a lausy code and you should spend some
time reading "The Mathematica Book". Anyway

Try

m = Tr[x];
autocovS = Table[0, {60}];
For[j = 1, j < 61, j++,
autocovS[[j]] =
1/Length[x] - j +
Sum[(x[[i]] - m)*(x[[i + j]] - m), {i, 1, Length[x] - j - 1, 1}]]

Regards
Jens

paolo wrote:
>
> 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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