pyhctsa.operations.correlation.autocorr

pyhctsa.operations.correlation.autocorr(y, tau=1, method='Fourier')

Compute the autocorrelation of an input time series.

Parameters:
y : array-like

A scalar time-series column vector.

tau : int or list of int, optional

The time delay(s).

  • If an int, returns the autocorrelation of y at that lag.

  • If a list of integers, returns autocorrelations at those lags.

  • If an empty list, returns the full autocorrelation function when

using the "Fourier" estimation method.

method : {"Fourier", "TimeDomainStat", "TimeDomain"}, optional

Method used to compute the autocorrelation.

  • "Fourier": Computes autocorrelation via the Wiener–Khinchin

    theorem using the Fourier transform.

  • "TimeDomainStat": Statistical time-domain estimator.

  • "TimeDomain": Direct time-domain computation.

Returns:

The autocorrelation at the given time lag(s).

Return type:

float or array