com.numericalmethod.suanshu.stats.timeseries.linear.multivariate

Class AutoCorrelationFunction

java.lang.Object

com.numericalmethod.suanshu.analysis.function.matrix.R2toMatrix

com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.AutoCorrelationFunction

All Implemented Interfaces:

Function<Vector,Matrix>, RntoMatrix, java.io.Serializable

Direct Known Subclasses:

AutoCorrelation

public abstract class AutoCorrelationFunction
extends R2toMatrix

This class represents an auto-correlation function for a multi-dimensional time series {Xt}.

 γij = E((Xi - μi) * (Xj - μj)')
 ρ(i, j) = γij / sqrt(γiiγjj)
 

For stationary process, the auto-correlation depends only on the lag, |i - j|.

See Also:

Serialized Form

Nested Class Summary

Nested classes/interfaces inherited from interface com.numericalmethod.suanshu.analysis.function.Function

Function.EvaluationException

Constructor Summary

Constructors

Constructor and Description
AutoCorrelationFunction()

Method Summary

Modifier and Type	Method and Description
Matrix	get(int i, int j) Get the auto-correlation matrix for Xi and Xj.

Methods inherited from class com.numericalmethod.suanshu.analysis.function.matrix.R2toMatrix

dimensionOfDomain, dimensionOfRange, evaluate, evaluate

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

AutoCorrelationFunction

public AutoCorrelationFunction()

Method Detail

get

public Matrix get(int i,
                  int j)

Get the auto-correlation matrix for Xi and Xj.

Parameters:

i - i > 0

j - j > 0

Returns:

an auto-correlation Matrix indexed by [i, j]