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, RntoMatrix

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|.

Nested Class Summary

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

Function.EvaluationException

Constructor Summary

AutoCorrelationFunction()

Method Summary

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

dimension4Domain, dimension4Range, 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]