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Calculation of autocorrelation matrix

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Raviteja
Raviteja 2011-4-2
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.
Please some one answer my question..

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采纳的回答

Matt Fig
Matt Fig 2011-4-2
I don't have the econometrics toolbox, but from this:
http://en.wikipedia.org/wiki/Autocorrelation_matrix
it looks like you might be able to build it by using the vector and the TOEPLITZ function (or cousins).

更多回答（2 个）

Raviteja
Raviteja 2011-4-8
First find autocorrelation by
>>z=autocorr(x)
Then find its toeplitz matrix
>>Rxx=toeplitz(z)
You get autocorrelation matrix Rxx
  1 个评论
Sravan Kumar Dodla
Sravan Kumar Dodla 2012-3-12
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
Sravan Kumar Dodla 2012-3-12
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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