--- /dev/null
+function [AUTOCOV,stderr,lpq,qpval] = acorf(Z,N);
+% Calculates autocorrelations for multiple data series.
+% Missing values in Z (NaN) are considered.
+% Also calculates Ljung-Box Q stats and p-values.
+%
+% [AutoCorr,stderr,lpq,qpval] = acorf(Z,N);
+% If mean should be removed use
+% [AutoCorr,stderr,lpq,qpval] = acorf(detrend(Z',0)',N);
+% If trend should be removed use
+% [AutoCorr,stderr,lpq,qpval] = acorf(detrend(Z')',N);
+%
+% INPUT
+% Z is data series for which autocorrelations are required
+% each in a row
+% N maximum lag
+%
+% OUTPUT
+% AutoCorr nr x N matrix of autocorrelations
+% stderr nr x N matrix of (approx) std errors
+% lpq nr x M matrix of Ljung-Box Q stats
+% qpval nr x N matrix of p-values on Q stats
+%
+% All input and output parameters are organized in rows, one row
+% corresponds to one series
+%
+% REFERENCES:
+% S. Haykin "Adaptive Filter Theory" 3ed. Prentice Hall, 1996.
+% M.B. Priestley "Spectral Analysis and Time Series" Academic Press, 1981.
+% W.S. Wei "Time Series Analysis" Addison Wesley, 1990.
+% J.S. Bendat and A.G.Persol "Random Data: Analysis and Measurement procedures", Wiley, 1986.
+
+% calculating lpq, stderr, qpval from
+% suggested by Philip Gray, University of New South Wales,
+
+% $Id: acorf.m 5090 2008-06-05 08:12:04Z schloegl $
+% Copyright (C) 1998-2002,2008 by Alois Schloegl <a.schloegl@ieee.org>
+%
+% 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, see <http://www.gnu.org/licenses/>.
+
+
+[nr,nc] = size(Z);
+NC = sum(~isnan(Z),2); % missing values
+
+AUTOCOV = acovf(Z,N);
+AUTOCOV = AUTOCOV(:,2:N+1) ./ AUTOCOV(:,ones(1,N));
+
+if nargout > 1
+ stderr = sqrt(1./NC)*ones(1,N);
+ lpq = zeros(nr,N);
+ qpval = zeros(nr,N);
+
+ cum=zeros(nr,1);
+ for k=1:N,
+ cum = cum+AUTOCOV(:,k).*conj(AUTOCOV(:,k))./(NC-k);
+ lpq(:,k) = NC.*(NC+2).*cum; % Ljung box Q for k lags
+ %qpval(:,k) = 1 - chi2cdf(lpq(:,k),k); % p-value of Q stat
+ qpval(:,k) = 1 - gammainc(lpq(:,k)/2,k/2); % replace chi2cdf by gammainc
+ end;
+end;