Trailing-Edge
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PDP-10 Archives
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decus_20tap2_198111
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decus/20-0026/auto.doc
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SUBROUTINE AUTO
PURPOSE
TO FIND AUTOCOVARIANCES OF SERIES A FOR LAGS 0 TO L-1.
USAGE
CALL AUTO (A,N,L,R)
DESCRIPTION OF PARAMETERS
A - INPUT VECTOR OF LENGTH N CONTAINING THE TIME SERIES
WHOSE AUTOCOVARIANCE IS DESIRED.
N - LENGTH OF THE VECTOR A.
L - AUTOCOVARIANCE IS CALCULATED FOR LAGS OF 0, 1, 2,...,
L-1.
R - OUTPUT VECTOR OF LENGTH L CONTAINING AUTOCOVARIANCES
OF SERIES A.
REMARKS
THE LENGTH OF R IS DIFFERENT FROM THE LENGTH OF A. N MUST
BE GREATER THAN L. IF NOT, R(1) IS SET TO ZERO AND RETURN
IS MADE TO THE CALLING PROGRAM.
SUBROUTINES AND FUNCTION SUBPROGRAMS REQUIRED
NONE
METHOD
DESCRIBED IN R.B. BLACKMAN AND J.W. TUKEY, 'THE MEASURMENT
OF POWER SPECTRA', DOVER PUBLICATIONS INC., NEW YORK, 1959.