Class MultivariateAutoCovarianceFunction

  • All Implemented Interfaces:
    Function<Vector,​Matrix>, RntoMatrix
    Direct Known Subclasses:
    VARMAAutoCovariance

    public abstract class MultivariateAutoCovarianceFunction
    extends R2toMatrix
    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|.
    • Constructor Detail

      • MultivariateAutoCovarianceFunction

        public MultivariateAutoCovarianceFunction()
    • Method Detail

      • get

        public Matrix get​(int i,
                          int j)
        Get the auto-covariance matrix for Xi and Xj.
        Parameters:
        i - i > 0
        j - j > 0
        Returns:
        the auto-covariance matrix indexed by [i, j]