IMSL C# Numerical Library

AutoCorrelation.GetAutoCorrelations Method

Returns the autocorrelations of the time series x.

public double[] GetAutoCorrelations();

Return Value

A double array of length maximumLag +1 containing the autocorrelations of the time series x.

Remarks

The 0-th element of this array is 1. The k-th element of this array contains the autocorrelation of lag ${\rm k}$ where k = 1, ..., maximumLag.

See Also

AutoCorrelation Class | Imsl.Stat Namespace