IMSL C# Numerical Library

CrossCorrelation.GetAutoCovarianceY Method 

Returns the autocovariances of the time series y.

public double[] GetAutoCovarianceY();

Return Value

A double array of length maximumLag + 1 containing the variances and autocovariances of the time series y.

Remarks

The 0-th element of the array contains the variance of the time series y. The k-th elements contains the autocovariance of lag k where k = 1, ..., maximumLag.

Exceptions

Exception Type Condition
NonPosVarianceException is thrown if the problem is ill-conditioned.

See Also

CrossCorrelation Class | Imsl.Stat Namespace