Asymptotic Behavior of Sample Autocorrelation Function and Sample-based Power Spectral Density

Version 1.0.0.0 (3,69 ko) par Ilias Konsoulas
Demonstrates ACF and PSD convergence to their true values as a function of data record length used.
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Mise à jour 24 juin 2014

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The sample autocorrelation function (SACF) is repeatedly calculated using an increasing number of data samples from different realizations of the same random process. Then, the PSD of the process is estimated using the SACF. The SACF is compared to it's true value and the same happens for the PSD. The rms error for both the ACF and PSD is calculated and ploted as a function of the number of samples used for their estimations. One demo is about a MA(2) random process and the other concerns an AR(2) process. This demo requires a powerful computer.

Citation pour cette source

Ilias Konsoulas (2024). Asymptotic Behavior of Sample Autocorrelation Function and Sample-based Power Spectral Density (https://www.mathworks.com/matlabcentral/fileexchange/47019-asymptotic-behavior-of-sample-autocorrelation-function-and-sample-based-power-spectral-density), MATLAB Central File Exchange. Récupéré le .

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Créé avec R2011b
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Version Publié le Notes de version
1.0.0.0