autocor.m

I developed an algorithm for using local ICA in denoising multidimensional data. It uses delay embed

function retval=Autocor(X,h)

[n,c]=size(X);

X=X-ones(size(X,1),1)*mean(X);

if (nargin==1)
 h=floor(n/2)-1;
end

retval=zeros(h+1,c);

for i=0:h
 nh=n-h;
 for j=1:c
  retval(i+1,j)=X(i+1:i+nh,j)'*conj(X(1:nh, j))/n;
 end
end

if (min(retval(1,:))~=0)
 retval=retval./(ones(size(retval,1),1)*retval(1,:));
end

return