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, RealScalarFunction

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|.

Nested Class Summary

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

Function.EvaluationException

Constructor Summary

AutoCorrelationFunction()

Method Summary

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

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 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)