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xcov sample covariance / dividing by N?

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Marcel Wieting
Marcel Wieting on 7 Dec 2020
Answered: Pratyush Roy on 29 Dec 2020
Dear matlab community,
I looked into using xcov to calculate auto-covariances of a Tx1 time series vector. Using xcov in the first instance, it seemed as if this function would not devide by T as opposed to what the general formula for sample autocovariance would suggest: ?
Can someone confirm whether I need to devide by T to get a vector of sample auto-covariances? If I do not devide by T, the covariances seem to explode, as more and more terms are added. It is also not clear from the documentation of xcov.
Best
Marcel

Answers (1)

Pratyush Roy
Pratyush Roy on 29 Dec 2020
Hi,
xcov in MATLAB computes raw covariances with no normalization. Hence after obtaining the results, one can divide by T to obtain the results suggested by the formula in the question.
The "More About" section in this documentation page might be helpful.
Hope this helps!

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