www.gusucode.com > econ 案例源码程序 matlab代码 > econ/TestAndPlotTheAutocorrelationFunctionExample.m

    %% Plot the Autocorrelation Function of a Time Series
% Specify the MA(2) model:
%
% $$y_t = \varepsilon_t-0.5\varepsilon_{t-1}+0.4\varepsilon_{t-2},$$
%
% where $\varepsilon_t$ is Gaussian with mean 0 and variance 1.

% Copyright 2015 The MathWorks, Inc.

rng(1); % For reproducibility
Mdl = arima('MA',{-0.5 0.4},'Constant',0,'Variance',1)
%% 
% Simulate 1000 observations from |Mdl|.
y = simulate(Mdl,1000);
%%
% Compute the ACF.
[ACF,lags,bounds] = autocorr(y,[],2);
bounds
%%
% |[]| tells the software to return the default number of lags (20).
% |numMA = 2| indicates that the ACF is effectively 0 after the second lag.
% |bounds| displays (-0.0843, 0.0843), which are the upper and lower confidence
% bounds.
%%
% Plot the ACF.
autocorr(y)
%%
% The ACF cuts off after the second lag.  This behavior indicataes an
% MA(2) process.