Class SamplePartialAutoCorrelation

    • Constructor Detail

      • SamplePartialAutoCorrelation

        public SamplePartialAutoCorrelation​(IntTimeTimeSeries xt,
                                            SampleAutoCovariance.Type type)
        Construct the sample PACF for a time series.
        Parameters:
        xt - a time series
        type - the auto-covariance type
      • SamplePartialAutoCorrelation

        public SamplePartialAutoCorrelation​(IntTimeTimeSeries xt)
        Construct the sample PACF for a time series.
        Parameters:
        xt - a time series
    • Method Detail

      • evaluate

        public double evaluate​(double x1,
                               double x2)
        Description copied from interface: BivariateRealFunction
        Evaluate y = f(x1,x2).
        Parameters:
        x1 - x1
        x2 - x2
        Returns:
        f(x1, x2)
      • evaluate

        public double evaluate​(int lag)
        Compute the partial auto-correlation for lag k.
        Parameters:
        lag - the lag order; it must be > 1
        Returns:
        ρ(k)