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Autocovariance matrix generation

version 1.0.0 (1.11 KB) by Omer Gerek
A simple function that produces the NxN auto covariance matrix from an input vector.


Updated 20 Apr 2021

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Since many people (mostly students) require autocovariance in the form of a toeplitz matrix, this function quickly generates the output in the matrix form. If the autocorrelation is needed, then one can simply replace the xcov command with xcorr inside the function.

Cite As

Omer Gerek (2021). Autocovariance matrix generation (, MATLAB Central File Exchange. Retrieved .

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MATLAB Release Compatibility
Created with R2021a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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