xcov1
Compute covariance at various lags [=correlation(x-mean(x),y-mean(y))].
Calling Sequence
[R, lag] = xcov (X)
... = xcov (X, Y)
... = xcov (..., maxlag)
... = xcov (..., scale)
Parameters
X:
Input vector
Y:
if specified, compute cross-covariance between X and Y, otherwise compute autocovariance of X.
maxlag:
is specified, use lag range [-maxlag:maxlag], otherwise use range [-n+1:n-1].
scale:
'biased':
for covariance=raw/N,
'unbiased':
for covariance=raw/(N-|lag|),
'coeff':
for covariance=raw/(covariance at lag 0),
'none':
for covariance=raw
'none':
is the default.
Description
Compute covariance at various lags [=correlation(x-mean(x),y-mean(y))]. Returns the covariance for each lag in the range, plus an optional vector of lags.