Functions > Signal Processing > Time Series Analysis > Correlation and Partial Autocorrelation
Correlation and Partial Autocorrelation
lcorr(vx, vy)—Returns a vector giving the lagged sample correlation of vectors vx and vy at each possible lag.
plcorr(v)—Returns a vector giving the partial autocorrelation of the vector v at each lag.
vx and vy are real-valued vectors of the same length.
v is a real-valued vector.
Additional Information
For both functions, the returned vector has the same length as the inputs.
The lcorr function makes use of the FFT algorithm and zero-padding, which may introduce small real or imaginary components for values near 0.
The kth component of lcorr measures the linear relationship between vx and the values of vy lagged by k units. Hence, lcorrk is referred to as the sample correlation at lag k.
The plcorr function is used to estimate the order of the model that can best fit an autoregressive time series, and to help compute the model parameters.
Was this helpful?