Unnormalized ACF from autocorr

조회 수: 9 (최근 30일)
Avik Mahata
Avik Mahata 2021년 6월 29일
답변: Swatantra Mahato 2021년 7월 6일
How can I get the autocorrelation values without the normalization from autocorr ? I just needed the absolute values of autocorrelation. The reasaon I am suspecting that 'autocorr' normalizing is that there difference in 10^3 order between the same autocorrelation vectors I get from Python. The shapes are also same but the values are difference.

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답변 (1개)

Swatantra Mahato
Swatantra Mahato 2021년 7월 6일
Hi Avik,
The documentation for "autocorr" mentions the algorithm used in calculating the autocorrelation. In particular, you can refer to the example mentioned to see how to compare normailzed and unnormalized values :
https://www.mathworks.com/help/econ/autocorr.html?s_tid=answers_rc2-2_p5_MLT#btzja9w-1
Hope this helps

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