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

Class Summary

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