| Copyright | (c) 2009 Bryan O'Sullivan |
|---|---|
| License | BSD3 |
| Maintainer | bos@serpentine.com |
| Stability | experimental |
| Portability | portable |
| Safe Haskell | None |
| Language | Haskell2010 |
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.