Estimate time series covariance functions.
Syntax
R = covf(z,M)
R = covf(z,M,maxsize)
Description
z is an N by nz matrix and M is the maximum delay -1 for which the covariance function is estimated.
R is returned as an nz2 x M matrix with entries
where 
is the j-th column of z and missing values in the sum are replaced by zero.
The optional argument maxsize controls the memory size as explained under auxvar.
The easiest way to describe and unpack the result is to use
reshape(R(:,k+1),nz,nz) = E z(t)*z'(t+k)
Here ' is complex conjugate transpose, which also explains how complex data are handled. The expectation symbol E corresponds to the sample means.
Algorithm
When nz is at most two, and when permitted by maxsize, a fast Fourier transform technique is applied. Otherwise, straightforward summing is used.
See Also
spa
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