TimeSeriesPopulationStatisticsAutocovariance Method

Returns the auto-covariance for the given lag.

Namespace: Meta.Numerics.Statistics
Assembly: Meta.Numerics (in Meta.Numerics.dll) Version: 4.1.4

Syntax

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: Type: SystemInt32
The lag index, which must lie between 0 and n-1.

Return Value

Type: UncertainValue
The best estimate, with uncertainty, of the lag-k auto-covariance of the population.

Remarks

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

TimeSeriesPopulationStatistics Class

Meta.Numerics.Statistics Namespace

TimeSeriesPopulationStatisticsAddLanguageSpecificTextSet("LST79F36005_0?cpp=::|nu=.");Autocovariance Method

Parameters

Return Value

Reference

TimeSeriesPopulationStatisticsAutocovariance Method