Compute the autocorrelation for an external time Series and the autocorrelation for the same series filtered by a first order process.
The autocovariance at a given lag is calculated n ----- \ x(i) xMean = ) ---- / n ----- i = 1 n - lag ----- \ ) (x(i) - xMean) (x(i + lag) - xMean) / ----- i = 1 autocovariance(lag) = ------------------------------------------------ n-1
The autocovariance at zero lag is the estimated variance. The autocorrelation is the autocovariance normalized by the variance. autocovariance(lag) autocorrelation(lag) = ----------------- autocovariance( 0 )
Upper Panel: A time series of Gaussianly distributed random numbers with mean=0, variance=4.
Lower Panel: The autocovariance function (black) and the autocorrelation function (red) are plotted as functions of the lag.
The equations for this model may be viewed by running the JSim model applet and clicking on the Source tab at the bottom left of JSim's Run Time graphical user interface. The equations are written in JSim's Mathematical Modeling Language (MML). See the Introduction to MML and the MML Reference Manual. Additional documentation for MML can be found by using the search option at the Physiome home page.
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The National Simulation Resource, Director J. B. Bassingthwaighte, Department of Bioengineering, University of Washington, Seattle WA 98195-5061.
Model development and archiving support at https://www.imagwiki.nibib.nih.gov/physiome provided by the following grants: NIH U01HL122199 Analyzing the Cardiac Power Grid, 09/15/2015 - 05/31/2020, NIH/NIBIB BE08407 Software Integration, JSim and SBW 6/1/09-5/31/13; NIH/NHLBI T15 HL88516-01 Modeling for Heart, Lung and Blood: From Cell to Organ, 4/1/07-3/31/11; NSF BES-0506477 Adaptive Multi-Scale Model Simulation, 8/15/05-7/31/08; NIH/NHLBI R01 HL073598 Core 3: 3D Imaging and Computer Modeling of the Respiratory Tract, 9/1/04-8/31/09; as well as prior support from NIH/NCRR P41 RR01243 Simulation Resource in Circulatory Mass Transport and Exchange, 12/1/1980-11/30/01 and NIH/NIBIB R01 EB001973 JSim: A Simulation Analysis Platform, 3/1/02-2/28/07.