Class MultivariateAutoCovarianceFunction
- java.lang.Object
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- dev.nm.analysis.function.matrix.R2toMatrix
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- dev.nm.stat.timeseries.linear.multivariate.MultivariateAutoCovarianceFunction
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- 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|.
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Nested Class Summary
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Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function
Function.EvaluationException
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Constructor Summary
Constructors Constructor Description MultivariateAutoCovarianceFunction()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Matrix
get(int i, int j)
Get the auto-covariance matrix for Xi and Xj.-
Methods inherited from class dev.nm.analysis.function.matrix.R2toMatrix
dimensionOfDomain, dimensionOfRange, evaluate, evaluate
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Method Detail
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get
public Matrix get(int i, int j)
Get the auto-covariance matrix for Xi and Xj.- Parameters:
i
- i > 0j
- j > 0- Returns:
- the auto-covariance matrix indexed by [i, j]
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