Click or drag to resize
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()

Return Value

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