TimeSeriesAutocovariance Method

public double[] Autocovariance()

Public Function Autocovariance As Double()

public:
array<double>^ Autocovariance()

member Autocovariance : unit -> float[] 

Return Value

The computation of the autocovariance for a given lag is an O(N) operation. Naively, the computation of the autocovariance for all N possible lags is an O(N^2) operation; this is in fact the cost of N invoations of Autocovariance(Int32). However, it is possible using Fourier techniques to simultaneously compute the autocovariance for all possible lags in O(N log N) operations. This method uses this Fourier technique and should be called if you require the autocovariance for more than a handfull of lag values.

Reference