AbsoluteCorrelationFunction

AbsoluteCorrelationFunction[data,hspec]

estimates the absolute correlation function at lags hspec from data.

AbsoluteCorrelationFunction[proc,hspec]

represents the absolute correlation function at lags hspec for the random process proc.

AbsoluteCorrelationFunction[proc,s,t]

represents the absolute correlation function at times s and t for the random process proc.

Details

• AbsoluteCorrelationFunction is also known as the autocorrelation function.
• The following specifications can be given for hspec:
•  τ at time or lag τ {τmax} unit spaced from 0 to τmax {τmin,τmax} unit spaced from τmin to τmax {τmin,τmax,dτ} from τmin to τmax in steps of dτ {{τ1,τ2,…}} use explicit {τ1,τ2,…}
• AbsoluteCorrelationFunction[{x1,,xn},h] is equivalent to .
• When data is TemporalData containing an ensemble of paths, the output represents the average across all paths.
• AbsoluteCorrelationFunction for a process proc with value x[t] at time t is given by:
•  Expectation[x[s] x[t]] for a scalar-valued process Expectation[x[s]⊗x[t]] for a vector-valued process
• The symbol represents KroneckerProduct.
• AbsoluteCorrelationFunction[proc,h] is defined only if proc is a weakly stationary process and is equivalent to AbsoluteCorrelationFunction[proc,h,0].
• The process proc can be any random process such as ARMAProcess and WienerProcess.

Examples

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Basic Examples(4)

Estimate the absolute correlation function at lag 2:

Sample the absolute correlation function for a random sample from an autoregressive time series:

The absolute correlation function for a discrete-time process:

The absolute correlation function for a continuous-time process:

Scope(13)

Empirical Estimates(7)

Estimate the absolute correlation function for some data at lag 5:

Obtain empirical estimates of the correlation function up to lag 9:

Compute the absolute correlation function for lags 1 to 9 in steps of 2:

Compute the absolute correlation function for a time series:

The absolute correlation function of a time series for multiple lags is given as a time series:

Estimate the absolute correlation function for an ensemble of paths:

Compare empirical and theoretical absolute correlation functions:

Plot the absolute cross-correlation for vector data:

Random Processeses(6)

The absolute correlation function for a weakly stationary discrete-time process:

The absolute correlation function only depends on the antidiagonal :

The absolute correlation function for a weakly stationary continuous-time process:

The absolute correlation function only depends on the antidiagonal :

The absolute correlation function for a non-weakly stationary discrete-time process:

The absolute correlation function depends on both time arguments:

The absolute correlation function for a non-weakly stationary continuous-time process:

The absolute correlation function depends on both time arguments:

The correlation function for some time series processes:

Absolute cross-correlation plots for a vector ARProcess:

Applications(2)

Determine whether the following data is best modeled with an MAProcess or an ARProcess:

It is difficult to determine the underlying process from sample paths:

The absolute correlation function of the data decays slowly:

ARProcess is clearly a better candidate model than MAProcess:

Use the absolute correlation function to determine if a process is mean ergodic:

The process is weakly stationary:

Calculate the absolute correlation function:

Find the value of the strip integral:

Check if the limit of the integral is 0 to conclude mean ergodicity:

Properties & Relations(13)

Sample absolute correlation function is a biased estimator for the process absolute correlation function:

Calculate the sample absolute correlation function:

Absolute correlation function for the process:

Plot both functions:

Absolute correlation function for a list can be calculated using AbsoluteCorrelation:

Calculate absolute correlation function for the data:

Use absolute correlation:

AbsoluteCorrelationFunction is the off-diagonal entry in the absolute correlation matrix:

Sample absolute correlation function at lag 0 estimates the second Moment:

Sample absolute correlation function is related to CovarianceFunction:

Sample absolute correlation function is related to CorrelationFunction:

Scale by the first element:

Compare to the sample correlation function:

Use Expectation to calculate the absolute correlation function:

The absolute correlation function is related to the Moment function:

Verify equality , where is the moment function:

The absolute correlation function is related to the CovarianceFunction :

Verify equality , where is the mean function:

The absolute correlation function equals CovarianceFunction when the mean of the process is zero:

The absolute correlation function is invariant for ToInvertibleTimeSeries:

The absolute correlation function is not invariant to centralizing:

The data has nonzero mean:

Centralize data:

Compare absolute correlation functions:

PowerSpectralDensity is a transform of the absolute correlation function for mean zero processes:

Use FourierSequenceTransform with appropriate parameters:

Compare to the power spectrum:

Possible Issues(1)

AbsoluteCorrelationFunction output may contain DifferenceRoot:

Use FunctionExpand to recover explicit powers:

Wolfram Research (2012), AbsoluteCorrelationFunction, Wolfram Language function, https://reference.wolfram.com/language/ref/AbsoluteCorrelationFunction.html.

Text

Wolfram Research (2012), AbsoluteCorrelationFunction, Wolfram Language function, https://reference.wolfram.com/language/ref/AbsoluteCorrelationFunction.html.

CMS

Wolfram Language. 2012. "AbsoluteCorrelationFunction." Wolfram Language & System Documentation Center. Wolfram Research. https://reference.wolfram.com/language/ref/AbsoluteCorrelationFunction.html.

APA

Wolfram Language. (2012). AbsoluteCorrelationFunction. Wolfram Language & System Documentation Center. Retrieved from https://reference.wolfram.com/language/ref/AbsoluteCorrelationFunction.html

BibTeX

@misc{reference.wolfram_2022_absolutecorrelationfunction, author="Wolfram Research", title="{AbsoluteCorrelationFunction}", year="2012", howpublished="\url{https://reference.wolfram.com/language/ref/AbsoluteCorrelationFunction.html}", note=[Accessed: 02-February-2023 ]}

BibLaTeX

@online{reference.wolfram_2022_absolutecorrelationfunction, organization={Wolfram Research}, title={AbsoluteCorrelationFunction}, year={2012}, url={https://reference.wolfram.com/language/ref/AbsoluteCorrelationFunction.html}, note=[Accessed: 02-February-2023 ]}