| /* statistics/lag1_source.c |
| * |
| * Copyright (C) 1996, 1997, 1998, 1999, 2000 Jim Davies, Brian Gough |
| * |
| * This program is free software; you can redistribute it and/or modify |
| * it under the terms of the GNU General Public License as published by |
| * the Free Software Foundation; either version 2 of the License, or (at |
| * your option) any later version. |
| * |
| * This program is distributed in the hope that it will be useful, but |
| * WITHOUT ANY WARRANTY; without even the implied warranty of |
| * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
| * General Public License for more details. |
| * |
| * You should have received a copy of the GNU General Public License |
| * along with this program; if not, write to the Free Software |
| * Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA 02110-1301, USA. |
| */ |
| |
| |
| double |
| FUNCTION(gsl_stats,lag1_autocorrelation) (const BASE data[], const size_t stride, const size_t n) |
| { |
| const double mean = FUNCTION(gsl_stats,mean) (data, stride, n); |
| return FUNCTION(gsl_stats,lag1_autocorrelation_m)(data, stride, n, mean); |
| } |
| |
| double |
| FUNCTION(gsl_stats,lag1_autocorrelation_m) (const BASE data[], const size_t stride, const size_t size, const double mean) |
| { |
| /* Compute the lag-1 autocorrelation of a dataset using the |
| recurrence relation */ |
| |
| size_t i; |
| |
| long double r1 ; |
| long double q = 0 ; |
| long double v = (data[0 * stride] - mean) * (data[0 * stride] - mean) ; |
| |
| for (i = 1; i < size ; i++) |
| { |
| const long double delta0 = (data[(i-1) * stride] - mean); |
| const long double delta1 = (data[i * stride] - mean); |
| q += (delta0 * delta1 - q)/(i + 1); |
| v += (delta1 * delta1 - v)/(i + 1); |
| } |
| |
| r1 = q / v ; |
| |
| return r1; |
| } |