Class | Description |
---|---|
MultivariateAutoCorrelationFunction |
This is the auto-correlation function of a multi-dimensional time series {Xt}.
|
MultivariateAutoCovarianceFunction |
This is the auto-covariance function of a multi-dimensional time series {Xt},
\[
K(i, j) = E((X_i - \mu_i) \times (X_j - \mu_j)')
\]
For a stationary process, the auto-covariance depends only on the lag, |i - j|.
|
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