Package dev.nm.stat.timeseries.linear.multivariate
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Class Summary 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|.