AbsoluteCorrelationFunction

AbsoluteCorrelationFunction[data,hspec]

estimates the absolute correlation function at lags hspec from data.

AbsoluteCorrelationFunction[proc,hspec]

represents the absolute correlation function at lags hspec for the random process proc.

AbsoluteCorrelationFunction[proc,s,t]

represents the absolute correlation function at times s and t for the random process proc.

Details

Examples

open allclose all

Basic Examples  (4)

Estimate the absolute correlation function at lag 2:

Sample the absolute correlation function for a random sample from an autoregressive time series:

The absolute correlation function for a discrete-time process:

The absolute correlation function for a continuous-time process:

Scope  (13)

Empirical Estimates  (7)

Estimate the absolute correlation function for some data at lag 5:

Obtain empirical estimates of the correlation function up to lag 9:

Compute the absolute correlation function for lags 1 to 9 in steps of 2:

Compute the absolute correlation function for a time series:

The absolute correlation function of a time series for multiple lags is given as a time series:

Estimate the absolute correlation function for an ensemble of paths:

Compare empirical and theoretical absolute correlation functions:

Plot the absolute cross-correlation for vector data:

Random Processeses  (6)

The absolute correlation function for a weakly stationary discrete-time process:

The absolute correlation function only depends on the antidiagonal :

The absolute correlation function for a weakly stationary continuous-time process:

The absolute correlation function only depends on the antidiagonal :

The absolute correlation function for a non-weakly stationary discrete-time process:

The absolute correlation function depends on both time arguments:

The absolute correlation function for a non-weakly stationary continuous-time process:

The absolute correlation function depends on both time arguments:

The correlation function for some time series processes:

Absolute cross-correlation plots for a vector ARProcess:

Applications  (2)

Determine whether the following data is best modeled with an MAProcess or an ARProcess:

It is difficult to determine the underlying process from sample paths:

The absolute correlation function of the data decays slowly:

ARProcess is clearly a better candidate model than MAProcess:

Use the absolute correlation function to determine if a process is mean ergodic:

The process is weakly stationary:

Calculate the absolute correlation function:

Find the value of the strip integral:

Check if the limit of the integral is 0 to conclude mean ergodicity:

Properties & Relations  (13)

Sample absolute correlation function is a biased estimator for the process absolute correlation function:

Calculate the sample absolute correlation function:

Absolute correlation function for the process:

Plot both functions:

Absolute correlation function for a list can be calculated using AbsoluteCorrelation:

Calculate absolute correlation function for the data:

Use absolute correlation:

AbsoluteCorrelationFunction is the off-diagonal entry in the absolute correlation matrix:

Sample absolute correlation function at lag 0 estimates the second Moment:

Sample absolute correlation function is related to CovarianceFunction:

Sample absolute correlation function is related to CorrelationFunction:

Scale by the first element:

Compare to the sample correlation function:

Use Expectation to calculate the absolute correlation function:

The absolute correlation function is related to the Moment function:

Verify equality , where is the ^(th) moment function:

The absolute correlation function is related to the CovarianceFunction :

Verify equality , where is the mean function:

The absolute correlation function equals CovarianceFunction when the mean of the process is zero:

The absolute correlation function is invariant for ToInvertibleTimeSeries:

The absolute correlation function is not invariant to centralizing:

The data has nonzero mean:

Centralize data:

Compare absolute correlation functions:

PowerSpectralDensity is a transform of the absolute correlation function for mean zero processes:

Use FourierSequenceTransform with appropriate parameters:

Compare to the power spectrum:

Possible Issues  (1)

AbsoluteCorrelationFunction output may contain DifferenceRoot:

Use FunctionExpand to recover explicit powers:

Introduced in 2012
 (9.0)