1 /* statistics/lag1_source.c
3 * Copyright (C) 1996, 1997, 1998, 1999, 2000, 2007 Jim Davies, Brian Gough
5 * This program is free software; you can redistribute it and/or modify
6 * it under the terms of the GNU General Public License as published by
7 * the Free Software Foundation; either version 3 of the License, or (at
8 * your option) any later version.
10 * This program is distributed in the hope that it will be useful, but
11 * WITHOUT ANY WARRANTY; without even the implied warranty of
12 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
13 * General Public License for more details.
15 * You should have received a copy of the GNU General Public License
16 * along with this program; if not, write to the Free Software
17 * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
22 FUNCTION(gsl_stats,lag1_autocorrelation) (const BASE data[], const size_t stride, const size_t n)
24 const double mean = FUNCTION(gsl_stats,mean) (data, stride, n);
25 return FUNCTION(gsl_stats,lag1_autocorrelation_m)(data, stride, n, mean);
29 FUNCTION(gsl_stats,lag1_autocorrelation_m) (const BASE data[], const size_t stride, const size_t size, const double mean)
31 /* Compute the lag-1 autocorrelation of a dataset using the
32 recurrence relation */
38 long double v = (data[0 * stride] - mean) * (data[0 * stride] - mean) ;
40 for (i = 1; i < size ; i++)
42 const long double delta0 = (data[(i-1) * stride] - mean);
43 const long double delta1 = (data[i * stride] - mean);
44 q += (delta0 * delta1 - q)/(i + 1);
45 v += (delta1 * delta1 - v)/(i + 1);