Class AutoCovarianceFunction

All Implemented Interfaces:
Function<Vector,Double>, BivariateRealFunction, RealScalarFunction
Direct Known Subclasses:
AutoCovariance, SampleAutoCovariance

public abstract class AutoCovarianceFunction extends AbstractBivariateRealFunction
This is the auto-covariance function of a univariate time series {xt}. For a stationary process, the auto-covariance depends only on the lag, |i - j|.
  • Constructor Details

    • AutoCovarianceFunction

      public AutoCovarianceFunction()
  • Method Details

    • get

      public double get(int i, int j)
      Get the auto-covariance of xi and xj.
      i - i > 0
      j - j > 0
      the auto-covariance of xi and xj