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How can I generate the Autocorrelation matrix of a vector of random variables?

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Mohamad Al Hassan
Mohamad Al Hassan on 26 Feb 2019
Answered: Munish Raj on 1 Mar 2019
Consider a vector containing random variables such as the following:
y=rand(10,1);
How can I evaluate the autocorrelation between all the components of the vector? I want to obtain the 10x10 autocorrelation matrix of the vector.

Answers (1)

Munish Raj
Munish Raj on 1 Mar 2019
Hello Mohamad,
MATLAB’s auto correlation function can be used for this purpose.
The documentation for the autocorrelation can be found here.
The following is a sample code on how you would use it
y=rand(10,1); %derfine a random vector
[acf,lags,bounds] = autocorr(y) %autocorrelate the vector
plot(acf) %plots the autocorrelated vector

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