AutoCorrelation.GetAutoCovariances Method

AutoCorrelationGetAutoCovariances Method

Returns the variance and autocovariances of the time series x.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public double[] GetAutoCovariances()

Public Function GetAutoCovariances As Double()

public:
array<double>^ GetAutoCovariances()

member GetAutoCovariances : unit -> float[]

Return Value

Type: Double
A double array of length maximumLag + 1 containing the variances and autocovariances of the time series x.

Exceptions

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

Remarks

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

Reference

AutoCorrelation Class

Imsl.Stat Namespace