All Implemented Interfaces:
Function<Vector,Double>, BivariateRealFunction, RealScalarFunction

public class AutoCorrelation extends AutoCorrelationFunction
Compute the Auto-Correlation Function (ACF) for an AutoRegressive Moving Average (ARMA) model, assuming that EXt = 0.

This implementation solves the Yule-Walker equation.

The R equivalent functions are ARMAacf and TacvfAR in package FitAR.

  • Constructor Details

    • AutoCorrelation

      public AutoCorrelation(ARMAModel model, int nLags)
      Compute the auto-correlation function for an ARMA model.
      model - an ARIMA model
      nLags - the number of lags
  • Method Details

    • evaluate

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

      public double evaluate(double i)
      Get the i-th auto-correlation.
      i - the lag order
      the i-th auto-correlation