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- /* statistics/lag1_source.c
- *
- * Copyright (C) 1996, 1997, 1998, 1999, 2000, 2007 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 3 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;
- }
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