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GNU Scientific Library Reference Manual - Third Edition (v1.12)
by M. Galassi, J. Davies, J. Theiler, B. Gough, G. Jungman, P. Alken, M. Booth, F. Rossi
Paperback (6"x9"), 592 pages, 60 figures
ISBN 0954612078
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20.4 Autocorrelation

Function: double gsl_stats_lag1_autocorrelation (const double data[], const size_t stride, const size_t n)
This function computes the lag-1 autocorrelation of the dataset data.
a_1 = {\sum_{i = 1}^{n} (x_{i} - \Hat\mu) (x_{i-1} - \Hat\mu)
       \over
       \sum_{i = 1}^{n} (x_{i} - \Hat\mu) (x_{i} - \Hat\mu)}
Function: double gsl_stats_lag1_autocorrelation_m (const double data[], const size_t stride, const size_t n, const double mean)
This function computes the lag-1 autocorrelation of the dataset data using the given value of the mean mean.
ISBN 0954612078GNU Scientific Library Reference Manual - Third Edition (v1.12)See the print edition