statistics-0.13.2.3: A library of statistical types, data, and functions

Copyright | (c) 2009 Bryan O'Sullivan
License | BSD3
Maintainer | bos@serpentine.com
Stability | experimental
Portability | portable
Safe Haskell | None
Language | Haskell98

Statistics.Autocorrelation

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 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.