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TimeSeriesPopulationStatisticsAutocovariance Method
Returns the autocovariance for the given lag.

Namespace:  Meta.Numerics.Statistics
Assembly:  Meta.Numerics (in Meta.Numerics.dll) Version: 3.1.0.0 (3.1.0.0)
Syntax
public UncertainValue Autocovariance(
	int k
)

Parameters

k
Type: SystemInt32
The lag index, which must lie between 0 and n-1.

Return Value

Type: UncertainValue
The best estimate, with uncertainty, of the lag-k autocovariance of the population.
Remarks

Note that, unlike the sample autocovariance (Autocovariance), and unlike the true population autocovariance, the estimated population autocovariance is not guaranteed to be positive definite when expressed as a matrix Ci,j = c[|i-j|].

See Also