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TSA Auto-Correlation Function VI

Owning Palette: Correlation and Spectral Analysis VIs

Installed With: Advanced Signal Processing Toolkit

Computes the normal or partial auto-correlation value of an input univariate time series. Wire data to the Xt input to determine the polymorphic instance to use or manually select the instance.

Details  Example

Use the pull-down menu to select an instance of this VI.

TSA Auto-Correlation Function (waveform)

weighting specifies to use the biased or unbiased weighting in the auto-correlation calculation. The default is Biased. Refer to the Details section for information about this parameter.
Xt specifies the input univariate time series.
type specifies to compute the normal auto-correlation value or partial auto-correlation value of a time series. Refer to the Details section for information about how this VI computes the two types of auto-correlation values.
maximum lag specifies the maximum lag to use in computing the auto-correlation value. The default is –1, which means the maximum lag equals N–1, where N is the length of the input time series.
error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node.
status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE.
code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code.
source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
positive lag only specifies to return the auto-correlation with lag being positive or with lag being positive and negative. The default is FALSE. This option is available only when type is Normal.
auto-correlation returns the auto-correlation value of the input time series.
correlogram plots the auto-correlation values against the lag.
error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error.
status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred.
code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code.
source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Auto-Correlation Function (array)

weighting specifies to use the biased or unbiased weighting in the auto-correlation calculation. The default is Biased. Refer to the Details section for information about this parameter.
Xt specifies the input univariate time series.
type specifies to compute the normal auto-correlation value or partial auto-correlation value of a time series. Refer to the Details section for information about how this VI computes the two types of auto-correlation values.
maximum lag specifies the maximum lag to use in computing the auto-correlation value. The default is –1, which means the maximum lag equals N–1, where N is the length of the input time series.
error in describes error conditions that occur before this VI or function runs. The default is no error. If an error occurred before this VI or function runs, the VI or function passes the error in value to error out. This VI or function runs normally only if no error occurred before this VI or function runs. If an error occurs while this VI or function runs, it runs normally and sets its own error status in error out. Use the Simple Error Handler or General Error Handler VIs to display the description of the error code. Use error in and error out to check errors and to specify execution order by wiring error out from one node to error in of the next node.
status is TRUE (X) if an error occurred before this VI or function ran or FALSE (checkmark) to indicate a warning or that no error occurred before this VI or function ran. The default is FALSE.
code is the error or warning code. The default is 0. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code.
source specifies the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning. The default is an empty string.
positive lag only specifies to return the auto-correlation with lag being positive or with lag being positive and negative. The default is FALSE. This option is available only when type is Normal.
auto-correlation returns the auto-correlation value of the input time series.
correlogram plots the auto-correlation values against the lag.
error out contains error information. If error in indicates that an error occurred before this VI or function ran, error out contains the same error information. Otherwise, it describes the error status that this VI or function produces. Right-click the error out front panel indicator and select Explain Error from the shortcut menu for more information about the error.
status is TRUE (X) if an error occurred or FALSE (checkmark) to indicate a warning or that no error occurred.
code is the error or warning code. If status is TRUE, code is a nonzero error code. If status is FALSE, code is 0 or a warning code.
source describes the origin of the error or warning and is, in most cases, the name of the VI or function that produced the error or warning.

TSA Auto-Correlation Function Details

This VI computes the normal auto-correlation value of a univariate time series according to the following equation:

where N is the number of samples of the input time series Xt. w is the weight. w=1 when weighting is biased. when weighting is unbiased.

You can consider the partial auto-correlation rkk (k=1, 2, …) at lag k of a univariate time series as the correlation between Xt and qkXt with the correlation between the observations qXt, q2Xt, …, qk–1Xt removed. q is the delay operator.

This VI computes the partial auto-correlation value of a univariate time series according to the following equation:

where Xt is the univariate time series. E[X] denotes the expectation value of X.

Example

Refer to the Correlation Analysis VI in the labview\examples\Time Series Analysis\TSAGettingStarted.llb for an example of using the TSA Auto-Correlation Function VI.


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