Compute the autocovariance of a sample, i.e. the covariance of the sample against a shifted version of itself.
Modulestatistics-0.16.5.0Haskell2010
Statistics.Autocorrelation
Functions for computing autocovariance and autocorrelation of a sample.
- 2 values
- Packagestatistics-0.16.5.0
- Exports2
- LanguageHaskell2010
- LicenceBSD-2-Clause
- SourceAutocorrelation.hs
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.