com.numericalmethod.suanshu.stats.timeseries.linear.univariate.sample
Class AutoCovariance

java.lang.Object
  com.numericalmethod.suanshu.analysis.function.rn2r1.BivariateRealFunction
      com.numericalmethod.suanshu.stats.timeseries.linear.univariate.AutoCovarianceFunction
          com.numericalmethod.suanshu.stats.timeseries.linear.univariate.sample.AutoCovariance

All Implemented Interfaces:

Function, RealScalarFunction

public class AutoCovariance
extends AutoCovarianceFunction

This computes the sample Auto-Covariance Function (ACVF) for a univariate data set.

See Also:

"William W.S. Wei, "Section 2.5.2. Sample Auto-covariance function" in Time Series Analysis : Univariate and Multivariate Methods (2nd Edition), Addison Wesley; 2 edition (July 17, 2005)"

Nested Class Summary

static class

AutoCovariance.Type

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

Function.EvaluationException

Constructor Summary

AutoCovariance(TimeSeries xt)

AutoCovariance(TimeSeries xt, AutoCovariance.Type type)

Method Summary

double	evaluate(double x1, double x2) Compute f(x1, x2).
double	evaluate(int k) Compute the auto-covariance for lag k.

Methods inherited from class com.numericalmethod.suanshu.stats.timeseries.linear.univariate.AutoCovarianceFunction

get

Methods inherited from class com.numericalmethod.suanshu.analysis.function.rn2r1.BivariateRealFunction

dimension4Domain, dimension4Range, evaluate

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

AutoCovariance

public AutoCovariance(TimeSeries xt,
                      AutoCovariance.Type type)

AutoCovariance

public AutoCovariance(TimeSeries xt)

Method Detail

evaluate

public double evaluate(int k)

Compute the auto-covariance for lag k.

Parameters:

k - lag

Returns:

γ(k)

evaluate

public double evaluate(double x1,
                       double x2)

Description copied from class: BivariateRealFunction

Compute f(x1, x2).

Specified by:

evaluate in class BivariateRealFunction

Parameters:

x1 - x1

x2 - x2

Returns:

f(x1, x2)