Question

I’d like to autocorrelate some data but it has some missing values, is there a quick way to do this in matlab? xcorr returns an array of NaN if any of the input is NaN.

e.g.

data = [1 2 3 4 NaN 2 3 4 1 2 3 4];
xc = xcorr(data, 'biased');

Answer 1

With some insight from Nzbuu, the following works:

data = [1 2 3 4 NaN 2 3 4 5];

scaled = (data - nanmean(data)) / nanstd(data);
scaled(isnan(data)) = 0;

corr = xcorr(scaled);

It is necessary to insert zeros after scaling the data, not before, as otherwise this will affect the value of mu and std used within xcorr. It is better to do this, than simply working out xcorr directly, as the fft approach used within xcorr is much faster for big datasets.