How can I generate the Autocorrelation matrix of a vector of random variables?

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Mohamad Al Hassan
Mohamad Al Hassan . 2019년 2월 26일
답변: Munish Raj . 2019년 3월 1일
Consider a vector containing random variables such as the following:
How can I evaluate the autocorrelation between all the components of the vector? I want to obtain the 10x10 autocorrelation matrix of the vector.

답변 (1개)

Munish Raj
Munish Raj 2019년 3월 1일
Hello Mohamad,
MATLAB’s auto correlation function can be used for this purpose.
The documentation for the autocorrelation can be found here.
The following is a sample code on how you would use it
y=rand(10,1); %derfine a random vector
[acf,lags,bounds] = autocorr(y) %autocorrelate the vector
plot(acf) %plots the autocorrelated vector

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