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

Class AutoCovarianceFunction

java.lang.Object

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

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

All Implemented Interfaces:

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

Direct Known Subclasses:

AutoCovariance, AutoCovariance

public abstract class AutoCovarianceFunction
extends BivariateRealFunction

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

For stationary process, the auto-covariance 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
AutoCovarianceFunction()

Method Summary

Modifier and Type	Method and Description
double	get(int i, int j) Get the auto-covariance 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

AutoCovarianceFunction

public AutoCovarianceFunction()

Method Detail

get

public double get(int i,
                  int j)

Get the auto-covariance for xi and xj.

Parameters:

i - i > 0

j - j > 0

Returns:

covariance(xi, xj)