statistics-0.6.0.2: A library of statistical types, data, and functionsSource codeContentsIndex
Statistics.Autocorrelation
Portabilityportable
Stabilityexperimental
Maintainerbos@serpentine.com
Description
Functions for computing autocovariance and autocorrelation of a sample.
Synopsis
autocovariance :: (Vector v Double, Vector v Int) => v Double -> v Double
autocorrelation :: (Vector v Double, Vector v Int) => v Double -> (v Double, v Double, v Double)
Documentation
autocovariance :: (Vector v Double, Vector v Int) => v Double -> v DoubleSource
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.

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