Google
 

Trailing-Edge - PDP-10 Archives - decuslib20-02 - decus/20-0026/auto.doc
There are 2 other files named auto.doc in the archive. Click here to see a list.
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.