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/* statistics/lag1_source.c
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*
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* Copyright (C) 1996, 1997, 1998, 1999, 2000, 2007 Jim Davies, Brian Gough
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*
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* This program is free software; you can redistribute it and/or modify
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* it under the terms of the GNU General Public License as published by
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* the Free Software Foundation; either version 3 of the License, or (at
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* your option) any later version.
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*
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* This program is distributed in the hope that it will be useful, but
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* WITHOUT ANY WARRANTY; without even the implied warranty of
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* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
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* General Public License for more details.
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*
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* You should have received a copy of the GNU General Public License
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* along with this program; if not, write to the Free Software
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* Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA.
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*/
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double
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FUNCTION(gsl_stats,lag1_autocorrelation) (const BASE data[], const size_t stride, const size_t n)
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{
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const double mean = FUNCTION(gsl_stats,mean) (data, stride, n);
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return FUNCTION(gsl_stats,lag1_autocorrelation_m)(data, stride, n, mean);
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}
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double
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FUNCTION(gsl_stats,lag1_autocorrelation_m) (const BASE data[], const size_t stride, const size_t size, const double mean)
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{
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/* Compute the lag-1 autocorrelation of a dataset using the
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recurrence relation */
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size_t i;
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long double r1 ;
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long double q = 0 ;
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long double v = (data[0 * stride] - mean) * (data[0 * stride] - mean) ;
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for (i = 1; i < size ; i++)
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{
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const long double delta0 = (data[(i-1) * stride] - mean);
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const long double delta1 = (data[i * stride] - mean);
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q += (delta0 * delta1 - q)/(i + 1);
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v += (delta1 * delta1 - v)/(i + 1);
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}
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r1 = q / v ;
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return r1;
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}
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