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Autocorrelation (serial correlation) is the correlation of a series of data with itself at some lag. This is an important topic in time series analysis.
4
votes
How to deal with gaps/NaNs in time series data when using Matlab for autocorrelation and neu...
Use this for autocorrelation with NaNs:
http://www.mathworks.com/matlabcentral/fileexchange/43840-autocorrelation-and-partial-autocorrelation-with-nans/content/nanautocorr.m
"not touch the data" means … I partially recoded the matlab (link above) autocorrelation and partial autocorrelation functions to deal with NaNs: any data couples including NaNs is excluded from the computation. …