Package dev.nm.stat.timeseries.linear.multivariate

Class MultivariateAutoCorrelationFunction

java.lang.Object

dev.nm.analysis.function.matrix.R2toMatrix

dev.nm.stat.timeseries.linear.multivariate.MultivariateAutoCorrelationFunction

All Implemented Interfaces:

Function<Vector,Matrix>, RntoMatrix

Direct Known Subclasses:

VARMAAutoCorrelation

public abstract class MultivariateAutoCorrelationFunction
extends R2toMatrix

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

Nested Class Summary

Nested classes/interfaces inherited from interface dev.nm.analysis.function.Function

Function.EvaluationException

Constructor Summary

Constructors

Constructor	Description
MultivariateAutoCorrelationFunction()

Method Summary

Modifier and Type	Method	Description
Matrix	get(int i, int j)	Get the auto-correlation of Xi and Xj.

Methods inherited from class dev.nm.analysis.function.matrix.R2toMatrix

dimensionOfDomain, dimensionOfRange, evaluate, evaluate

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

MultivariateAutoCorrelationFunction

public MultivariateAutoCorrelationFunction()

Method Details

get

public Matrix get(int i,
 int j)

Get the auto-correlation of X_i and X_j.

Parameters:

i - i > 0

j - j > 0

Returns:

the auto-correlation Matrix indexed by [i, j]