| 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.
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.