21.4 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 = 2}^{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.