com.numericalmethod.suanshu.stats.timeseries.linear.univariate

Class AutoCorrelationFunction

java.lang.Object

com.numericalmethod.suanshu.analysis.function.rn2r1.BivariateRealFunction

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

All Implemented Interfaces:

Function<Vector,java.lang.Double>, RealScalarFunction, java.io.Serializable

Direct Known Subclasses:

AutoCorrelation, AutoCorrelation, PartialAutoCorrelation

public abstract class AutoCorrelationFunction
extends BivariateRealFunction

This class represents an auto-correlation function for a univariate time series {x_t},

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
double	get(int i, int j) Get the auto-correlation for xi and xj.

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.BivariateRealFunction

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 double get(int i,
                  int j)

Get the auto-correlation for xi and xj.

Parameters:

i - i > 0

j - j > 0

Returns:

covariance(xi, xj)