TimeSeriesFunctions Class

Contains functions useful for the analysis of time series.

Definition

Namespace: Extreme.Statistics.TimeSeriesAnalysis
Assembly: Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.23
C# 
public static class TimeSeriesFunctions
Inheritance
Object  →  TimeSeriesFunctions

Remarks

Use the TimeSeriesFunctions to obtain information about variables that contain time series data. The methods in this class are defined as extension methods.

Methods

AugmentedDickeyFullerTest Returns a new Augmented Dickey-Fuller test object for the presence of a unit root.
AutocorrelationFunction Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
AutoCovarianceFunction Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
Difference(Vector<Double>) Computes a differenced time series.
Difference(Vector<Double>, Int32) Computes a differenced time series.
DurbinWatsonStatistic Returns the Durbin-Watson statistic for the specified residuals.
GetAutocorrelationFunctionInfo Returns a data frame containing information about the auto-correlation function of a series, optionally including confidence intervals and Ljung-Box Q statistics and p-values.
PartialAutocorrelationFunction Computes the Partial Auto-Correlation Function (PACF) from an Auto-Correlation Function (ACF).

See Also