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

java.lang.Object
  com.numericalmethod.suanshu.analysis.function.matrix.R2toMatrix
      com.numericalmethod.suanshu.stats.timeseries.linear.multivariate.AutoCovarianceFunction

All Implemented Interfaces:

Function, RntoMatrix

Direct Known Subclasses:

AutoCovariance

public abstract class AutoCovarianceFunction
extends R2toMatrix

This class represents an auto-covariance function for a multi-dimensional time series {Xt}, K(i, j) = E((Xi - μi) * (Xj - μj)')

For stationary process, the auto-covariance 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

AutoCovarianceFunction()

Method Summary

Matrix

get(int i, int j) Get the auto-covariance 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

AutoCovarianceFunction

public AutoCovarianceFunction()

Method Detail

get

public Matrix get(int i,
                  int j)

Get the auto-covariance matrix for Xi and Xj.

Parameters:

i - i > 0

j - j > 0

Returns:

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