new file mode 100644
--- /dev/null
+++ b/scripts/signal/autocov.m
@@ -0,0 +1,60 @@
+## Copyright (C) 1995, 1996, 1997  Friedrich Leisch
+## 
+## 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 2, 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 file.  If not, write to the Free Software Foundation,
+## 59 Temple Place - Suite 330, Boston, MA 02111-1307, USA.
+
+## usage:  autocov (X [, h])
+## 
+## returns the autocovariances from lag 0 to h of vector X.
+## If h is omitted, all autocovariances are computed.
+## If X is a matrix, the autocovariances of every single column are
+## computed. 
+
+## Author:  FL <Friedrich.Leisch@ci.tuwien.ac.at>
+## Description:  Compute autocovariances
+  
+function retval = autocov (X, h)
+  
+  [n c] = size (X);
+  
+  if (is_vector (X))
+    n = length (X);
+    c = 1;
+    X = reshape (X, n, 1);
+  endif
+  
+  X = center (X);
+  
+  if (nargin == 1)
+    h = n - 1;
+  endif
+  
+  retval = zeros (h + 1, c);
+  
+  unwind_protect
+
+    oldpcv = prefer_column_vectors;
+    prefer_column_vectors = "false";
+
+    for i = 0 : h
+      retval(i+1, :) = diag (X(i+1:n, :).' * conj (X(1:n-i, :))) / n;
+    endfor
+
+  unwind_protect_cleanup
+    
+    prefer_column_vectors = oldpcv;
+    
+  end_unwind_protect
+  
+endfunction