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## autocov: divide by (n-1) not n

**From**: |
Sebastian Schubert |

**Subject**: |
autocov: divide by (n-1) not n |

**Date**: |
Sat, 09 Dec 2006 19:44:08 +0100 |

**User-agent**: |
Gnus/5.110006 (No Gnus v0.6) Emacs/22.0.91 (gnu/linux) |

Hallo,
I'm quite new to statistics so this maybe complete nonsense or just a
matter of convention: I would change the division by n in autocov to
division by (n-i):
49 for i = 0 : h
50 retval(i+1, :) = diag (X(i+1:n, :).' * conj (X(1:n-i, :))).' / (n-i);
51 endfor
The autocovariance:
gamma(i-j) = <(a_i-A)(a_j-A)>
where <> is expectation value. So one should divide the sum by the
number of its addends which is n-i.
Sebastian

**autocov: divide by (n-1) not n**,
*Sebastian Schubert* **<=**