TimeSeriesFunctions.GetAutocorrelationFunctionInfo Method

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.

Definition

Namespace: Extreme.Statistics.TimeSeriesAnalysis
Assembly: Extreme.Numerics (in Extreme.Numerics.dll) Version: 8.1.23

public static DataFrame<long, string> GetAutocorrelationFunctionInfo(
	this Vector<double> variable,
	int order = 40,
	bool confidenceIntervals = true,
	double confidenceLevel = 0.95,
	bool ljungBoxQ = false
)

Visual Basic

<ExtensionAttribute>
Public Shared Function GetAutocorrelationFunctionInfo ( 
	variable As Vector(Of Double),
	Optional order As Integer = 40,
	Optional confidenceIntervals As Boolean = true,
	Optional confidenceLevel As Double = 0.95,
	Optional ljungBoxQ As Boolean = false
) As DataFrame(Of Long, String)

C++/CLI

public:
[ExtensionAttribute]
static DataFrame<long long, String^>^ GetAutocorrelationFunctionInfo(
	Vector<double>^ variable, 
	int order = 40, 
	bool confidenceIntervals = true, 
	double confidenceLevel = 0.95, 
	bool ljungBoxQ = false
)

[<ExtensionAttribute>]
static member GetAutocorrelationFunctionInfo : 
        variable : Vector<float> * 
        ?order : int * 
        ?confidenceIntervals : bool * 
        ?confidenceLevel : float * 
        ?ljungBoxQ : bool 
(* Defaults:
        let _order = defaultArg order 40
        let _confidenceIntervals = defaultArg confidenceIntervals true
        let _confidenceLevel = defaultArg confidenceLevel 0.95
        let _ljungBoxQ = defaultArg ljungBoxQ false
*)
-> DataFrame<int64, string>

Parameters

variable Vector<Double>: A vector containing the time series to analyze.
order Int32 (Optional): The highest order of the auto-correlation function to return.
confidenceIntervals Boolean (Optional): Specifies whether confidence intervals are returned as the 2nd and 3rd columns.
confidenceLevel Double (Optional): If confidenceIntervals is true, the confidence level.
ljungBoxQ Boolean (Optional): Specifies whether Ljung-Box Q statistics and associated p-values are returned in the last two columns.

Return Value

DataFrame<Int64, String>

Usage Note

In Visual Basic and C#, you can call this method as an instance method on any object of type Vector<Double>. When you use instance method syntax to call this method, omit the first parameter. For more information, see Extension Methods (Visual Basic) or Extension Methods (C# Programming Guide).

Exceptions

ArgumentNullException	variable is null.
ArgumentOutOfRangeException	order is less than one or greater than the length of variable.