Content-Length: 8332 | pFad | http://hackage.haskell.org/package/statistics-0.3.6/docs/Statistics-Autocorrelation.html

Statistics.Autocorrelation

statistics-0.3.6: A library of statistical types, data, and functions

Portabilityportable
Stabilityexperimental
Maintainerbos@serpentine.com

Statistics.Autocorrelation

Description

Functions for computing autocovariance and autocorrelation of a sample.

Synopsis

Documentation

autocovariance :: Sample -> UArr DoubleSource

Compute the autocovariance of a sample, i.e. the covariance of the sample against a shifted version of itself.

autocorrelation :: Sample -> (UArr Double, UArr Double, UArr 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.









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