Auto-correlation in Python

[mobias17]

Hi @taspinar ,

in http://ataspinar.com/2018/04/04/machine-learning-with-signal-processing-techniques/ auto correlation is based on Numpy, what is totally fine. Also searched for ACF and PCF toolkits and I wanted to point you direction statsmodels.

e.g.

from statsmodels.graphics.tsaplots import plot_acf
from statsmodels.tsa.stattools import acf

plt.plot(t_values,acf(composite_y_value, nlags=N,fft=True),linestyle='-', color='blue')
plt.xlabel('time delay [s]')
plt.ylabel('Autocorrelation amplitude')
plt.show()

plot_acf(composite_y_value,zero=True, lags=N-1)

This returns plots with ACF between -1 and 1, what I would rather expect. Not sure why numpy has this scaling, that is weird to me at least in terms of correlation.

Further, statsmodels.tsa.stattools.acf has a fft parameter that you are refering in your fun fact. Very interesting. Maybe you could elaborate on the transformation between FFT, PSD and the auto-correlation if ever you are making adjustments.

Great blog!