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, RealScalarFunction

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|.

Nested Class Summary

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

Function.EvaluationException

Constructor Summary

AutoCovarianceFunction()

Method Summary

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

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 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)