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 #
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) #
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.