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TimeSeriesPopulationStatisticsAutocovariance Method

Returns the auto-covariance for the given lag.

Namespace:  Meta.Numerics.Statistics
Assembly:  Meta.Numerics (in Meta.Numerics.dll) Version: 4.0.5.0 (4.0.5.0)
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 auto-covariance of the population.
Remarks

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

See Also