【源码】自相关函数Autocorrelation Function (ACF)的计算
本代码计算给定序列的自相关函数ACF。
Computes ACF for a given series.
根据滞后量p返回自相关输出向量。
Returns a vector of autocorrelations through lag p.
还可以生成自相关的条形图，其中拒绝域用于测试（在白噪声假设下）每个自相关等于0。
Also produces bar graph of autocorrelations, with rejection region bands for testing (under white noise assumption) each autocorrelation = 0.
源代码：
function ta = acf(y,p)
% ACF - Compute Autocorrelations Through p Lags
% >> myacf = acf(y,p)
%
% Inputs:
% y - series to compute acf for, nx1 column vector
% p - total number of lags, 1x1 integer
%
% Output:
% myacf - px1 vector containing autocorrelations
% (First lag computed is lag 1. Lag 0 not computed)
%
%
% A bar graph of the autocorrelations is also produced, with
% rejection region bands for testing individual autocorrelations = 0.
%
% Note that lag 0 autocorelation is not computed,
% and is not shown on this graph.
%
% Example:
% >> acf(randn(100,1), 10)
%
% --------------------------
% USER INPUT CHECKS
% --------------------------
[n1, n2] = size(y) ;
if n2 ~=1
error('Input series y must be an nx1 column vector')
end
[a1, a2] = size§ ;
if ~((a11 & a21) & (p<n1))
error('Input number of lags p must be a 1x1 scalar, and must be less than length of series y')
end
% -------------
% BEGIN CODE
% -------------
ta = zeros(p,1) ;
global N
N = max(size(y)) ;
global ybar
ybar = mean(y);
% Collect ACFs at each lag i
for i = 1:p
ta(i) = acf_k(y,i) ;
end
% Plot ACF
% Plot rejection region lines for test of individual autocorrelations
% H_0: rho(tau) = 0 at alpha=.05
bar(ta)
line([0 p+.5], (1.96)*(1/sqrt(N))*ones(1,2))
line([0 p+.5], (-1.96)*(1/sqrt(N))*ones(1,2))
% Some figure properties
line_hi = (1.96)*(1/sqrt(N))+.05;
line_lo = -(1.96)*(1/sqrt(N))-.05;
bar_hi = max(ta)+.05 ;
bar_lo = -max(ta)-.05 ;
if (abs(line_hi) > abs(bar_hi)) % if rejection lines might not appear on graph
axis([0 p+.60 line_lo line_hi])
else
axis([0 p+.60 bar_lo bar_hi])
end
title({’ ‘,‘Sample Autocorrelations’,’ '})
xlabel(‘Lag Length’)
set(gca,‘YTick’,[-1:.20:1])
% set number of lag labels shown
if (p<28 & p>4)
set(gca,'XTick',floor(linspace(1,p,4)))
elseif (p>=28)
set(gca,'XTick',floor(linspace(1,p,8)))
end
set(gca,‘TickLength’,[0 0])
% ---------------
% SUB FUNCTION
% ---------------
function ta2 = acf_k(y,k)
% ACF_K - Autocorrelation at Lag k
% acf(y,k)
%
% Inputs:
% y - series to compute acf for
% k - which lag to compute acf
%
global ybar
global N
cross_sum = zeros(N-k,1) ;
% Numerator, unscaled covariance
for i = (k+1):N
cross_sum(i) = (y(i)-ybar)*(y(i-k)-ybar) ;
end
% Denominator, unscaled variance
yvar = (y-ybar)’*(y-ybar) ;
ta2 = sum(cross_sum) / yvar ;
源码下载地址：
http://page2.dfpan.com/fs/8lcje221e291c679df8/
更多精彩文章请关注微信号：