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

Question

Mohamad Al Hassan 2019-2-26

回答： Munish Raj 2019-3-1

Consider a vector containing random variables such as the following:

y=rand(10,1);

How can I evaluate the autocorrelation between all the components of the vector? I want to obtain the 10x10 autocorrelation matrix of the vector.

Answer 1

Munish Raj 2019-3-1

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 