MATLAB Answers

Calculation of autocorrelation matrix

125 views (last 30 days)
Raviteja
Raviteja on 2 Apr 2011
I want to calculate autocorrelation matrix of a give sequence in matlab.
Which command I have to use ?
>> x=[-2 1 4 2 1 5 4 2 4]
>> z=autocorr(x)
I am getting auto correlated values in a vector form.
I want to calculate Rxx which is a matrix. Suppose if the length of the vector ix N I have to get N X N matrix.
I tried corrmtx( ) but not worked.
Please some one answer my question..

Accepted Answer

Matt Fig
Matt Fig on 2 Apr 2011
I don't have the econometrics toolbox, but from this:
it looks like you might be able to build it by using the vector and the TOEPLITZ function (or cousins).

More Answers (2)

Raviteja
Raviteja on 8 Apr 2011
First find autocorrelation by
>>z=autocorr(x)
Then find its toeplitz matrix
>>Rxx=toeplitz(z)
You get autocorrelation matrix Rxx
  1 Comment
Sravan Kumar Dodla
Sravan Kumar Dodla on 12 Mar 2012
Could you just look into it??
Using autocorr is correct here or to use xcorr is correct??
Just try in MATLAB..!!!
Than we can use Toeplitz,...!!

Sign in to comment.


Sravan Kumar Dodla
Sravan Kumar Dodla on 12 Mar 2012
Could you just look into it??
Using autocorr is correct here or to use xcorr is correct?? Just try in MATLAB..!!! Than we can use Toeplitz,...!!

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!