Calculation of autocorrelation matrix

I want to calculate autocorrelation matrix of a give sequence in matlab.

Which command I have to use ?

>> x=[-2 1 4 2 1 5 4 2 4]
>> z=autocorr(x)

I am getting auto correlated values in a vector form.

I want to calculate Rxx which is a matrix. Suppose if the length of the vector ix N I have to get N X N matrix.

I tried corrmtx( ) but not worked.

Please some one answer my question..

Answer 1

[Matt Fig]

I don't have the econometrics toolbox, but from this:

http://en.wikipedia.org/wiki/Autocorrelation_matrix

it looks like you might be able to build it by using the vector and the TOEPLITZ function (or cousins).

Answer 2

[Raviteja]

First find autocorrelation by

>>z=autocorr(x)

Then find its toeplitz matrix

>>Rxx=toeplitz(z)

You get autocorrelation matrix Rxx

[Sravan Kumar Dodla]

Could you just look into it??

Using autocorr is correct here or to use xcorr is correct??

Just try in MATLAB..!!!

Than we can use Toeplitz,...!!

Answer 3

[Sravan Kumar Dodla]

Could you just look into it??

Using autocorr is correct here or to use xcorr is correct?? Just try in MATLAB..!!! Than we can use Toeplitz,...!!