IMSL C# Numerical Library

AutoCorrelation Constructor 

Constructor to compute the sample autocorrelation function of a stationary time series.

public AutoCorrelation(
   double[] x,
   int maximumLag
);

Parameters

x
A one-dimensional double array containing the stationary time series.
maximumLag
An int containing the maximum lag of autocovariance, autocorrelations, and standard errors of autocorrelations to be computed.

Remarks

maximumLag must be greater than or equal to 1 and less than the number of observations in x.

See Also

AutoCorrelation Class | Imsl.Stat Namespace