Copyright | (c) 2009 Bryan O'Sullivan |
---|---|

License | BSD3 |

Maintainer | bos@serpentine.com |

Stability | experimental |

Portability | portable |

Safe Haskell | None |

Language | Haskell98 |

Functions for computing autocovariance and autocorrelation of a sample.

# Documentation

autocovariance :: (Vector v Double, Vector v Int) => v Double -> v Double Source

Compute the autocovariance of a sample, i.e. the covariance of the sample against a shifted version of itself.

autocorrelation :: (Vector v Double, Vector v Int) => v Double -> (v Double, v Double, v Double) Source

Compute the autocorrelation function of a sample, and the upper and lower bounds of confidence intervals for each element.

*Note*: The calculation of the 95% confidence interval assumes a
stationary Gaussian process.