Re: autocov and autocor

[John W. Eaton]

On 28-Oct-2010, Rik wrote:

| I'd done some checking, but hadn't consolidated everything in my mind to
| write up.  The short answer is that there is very little definitional
| certainty about how to calculate the cross-covariance (and hence the
| special case of the autocovariance).

OK.

| Although the bug poster was
| *emphatic* about the correct way to do things, in fact, it varies between
| academic fields and even when the same method is used there is a
| normalization factor which varies.

Yeah, well at this point, he's changed his opinion a bit.  See his
latest update on the bug tracker.

| In this case, where there is no clear cut standard, my leaning is to follow
| Matlab; at least we can all be wrong together.

Yes, at least then programs will work the same way in both, which is
what I think most users expect.

| Still, I think overall
| these functions are too esoteric and should be removed from the
| core.

I'm OK with moving these functions and perhaps others that are not in
the Matlab core and that are not widely used to an external package.

Likewise, I think it migth also be a good idea to move most of the
functions in scripts/statistics to the Octave Forge statistics
package.

jwe