bugGNU Octave - Bugs: bug #62161, [octave forge] (tsa) acorf depends...


bug #62161: [octave forge] (tsa) acorf depends on constant

Submitter:  Muhali <muhali>
Submitted:  Wed 09 Mar 2022 03:56:42 PM UTC
Category:  Octave Package Severity:  3 - Normal
Priority:  5 - Normal Item Group:  Incorrect Result
Status:  None Assigned to:  None
Originator Name:  Open/Closed:  * Open
Release:  * 6.4.0 Operating System:  * GNU/Linux
Fixed Release:  None Planned Release:  None
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Sat 02 Apr 2022 03:22:23 PM UTC, comment #1: 

When you refer to a "constant", I guess you refer to non-zero mean of the time series. For your example, any of the following would do 

   acorf(detrend(([0:10] + x),0)', 1)
   acorf(center ( (1:10) + x ,1)', 1)

The help function is quite verbose about how a non-zero mean could be handled. (see 'help acorf')

Therefore, I do not agree with your assessment, that the function returns an incorrect result. The function does also not even have the same name than the name a in matlab. So there also no confusion.

If you believe there is a need for an 'autocorr' function, that shows the behavior you expect, it would be very simple to add this.

Alois Schlögl <schloegl>
Wed 09 Mar 2022 03:56:42 PM UTC, original submission:  

This code

pkg load signal tsa

x = arma_rnd(0.7, [], 1, 100) ;
acorf((1:10)' + x', 1)

demonstrates that the acorf function is not independent of adding a constant. This contradicts intuition as well as corresponding packages from Matlab (autocorr) and R (acf).

Muhali <muhali>


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