Calculates autocorrelations for multiple data series.
Missing values in Z (NaN) are considered.
Also calculates Ljung-Box Q stats and p-values.
[AutoCorr,stderr,lpq,qpval] = acorf(Z,N);
If mean should be removed use
[AutoCorr,stderr,lpq,qpval] = acorf(detrend(Z',0)',N);
If trend should be removed use
[AutoCorr,stderr,lpq,qpval] = acorf(detrend(Z')',N);
INPUT
Z is data series for which autocorrelations are required
each in a row
N maximum lag
OUTPUT
AutoCorr nr x N matrix of autocorrelations
stderr nr x N matrix of (approx) std errors
lpq nr x M matrix of Ljung-Box Q stats
qpval nr x N matrix of p-values on Q stats
All input and output parameters are organized in rows, one row
corresponds to one series
REFERENCES:
S. Haykin "Adaptive Filter Theory" 3ed. Prentice Hall, 1996.
M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981.
W.S. Wei "Time Series Analysis" Addison Wesley, 1990.
J.S. Bendat and A.G.Persol "Random Data: Analysis and Measurement procedures", Wiley, 1986.
Package: tsa