Package dev.nm.stat.timeseries.linear.multivariate

Class Summary

Class	Description
MultivariateAutoCorrelationFunction	This is the auto-correlation function of a multi-dimensional time series {Xt}. \[ Y_{i,j} = E((X_i - \mu_i) \times (X_j - \mu_j)') \\ \rho(i, j) = \frac{Y_{i,j}}{\sqrt{Y_{i,i}Y_{j,j}}} \] For a stationary process, the auto-correlation depends only on the lag, |i - j|.
MultivariateAutoCovarianceFunction	This is the auto-covariance function of a multi-dimensional time series \(\{X_{t}\}\), \[ K(i, j) = E((X_i - \mu_i) \times (X_j - \mu_j)') \] For a stationary process, the auto-covariance depends only on the lag, |i - j|.