I have to find the autocorrelation of a random variable. When I compute the theoretical autocorrelation I get the result where it is [1 -2 3 -2 1] centered around zero, and zero everywhere else. I tried estimating the autocorrelation of the random variable using ryy_est = xcorr(Y,20, 'unbiased'); in Octave, and I get the exactly same distribution. Can anyone explain to me what is going on? I was under the impression that a correlation can't be greater than 1. I've though about just dividing everything by 3, since it is equal to 3 at m = 0, however I don't know if this would be right, and I still don't know why I am getting values like that. The random variable is a gaussian random variable of zero mean and unit variance, put through a filter y[n] = x[n] - x[n-1] + x[n -2].