TimeSeriesPopulationStatisticsAutocovariance Method

public UncertainValue Autocovariance(
	int k
)

Public Function Autocovariance ( 
	k As Integer
) As UncertainValue

public:
UncertainValue Autocovariance(
	int k
)

member Autocovariance : 
        k : int -> UncertainValue 

Parameters

k  Int32

The lag index, which must lie between 0 and n-1.

Return Value

Note that, unlike the sample auto-covariance (Autocovariance), and unlike the true population auto-covariance, the estimated population auto-covariance is not guaranteed to be positive definite when expressed as a matrix C_i,j = c[|i-j|].

Reference