# Calculation of autocorrelation matrix

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Raviteja 2011년 4월 2일
I want to calculate autocorrelation matrix of a give sequence in matlab.
Which command I have to use ?
>> x=[-2 1 4 2 1 5 4 2 4]
>> z=autocorr(x)
I am getting auto correlated values in a vector form.
I want to calculate Rxx which is a matrix. Suppose if the length of the vector ix N I have to get N X N matrix.
I tried corrmtx( ) but not worked.

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### 채택된 답변

Matt Fig 2011년 4월 2일
I don't have the econometrics toolbox, but from this:
it looks like you might be able to build it by using the vector and the TOEPLITZ function (or cousins).

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### 추가 답변 (2개)

Raviteja 2011년 4월 8일
First find autocorrelation by
>>z=autocorr(x)
Then find its toeplitz matrix
>>Rxx=toeplitz(z)
You get autocorrelation matrix Rxx
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Sravan Kumar Dodla 2012년 3월 12일
Could you just look into it??
Using autocorr is correct here or to use xcorr is correct??
Just try in MATLAB..!!!
Than we can use Toeplitz,...!!

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Sravan Kumar Dodla 2012년 3월 12일
Could you just look into it??
Using autocorr is correct here or to use xcorr is correct?? Just try in MATLAB..!!! Than we can use Toeplitz,...!!

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