Partial autocorrelation
Purpose
Description
Macro Synopsis
Modules
Related Functions
References
Purpose
Partial autocorrelation
Description
This function computes the partial autocorrelation of the given
signal and is calculated from the ordinary autocorrelation by means
of a Levinson-Durbin-recursion.
The partial autocorrelation is the partial correlation of 
and 
with the intermediate random variables 
held constant, where 
.
is the coefficient of in the linear prediction of by 
preceding random variables 
.
Macro Synopsis
y = PartialAutoCorr(x);
signal x,y;
Modules
Student, Professional
Related Functions
Autocorrelation.
References
Conover [11], Graybill [12],
Hollander/Wolfe [13]