org.hawkular.datamining.forecast.stats

Class AutoCorrelationFunction

java.lang.Object

org.hawkular.datamining.forecast.stats.AutoCorrelationFunction

public class AutoCorrelationFunction
extends Object

ACF - autocorrelation function

Author:

Pavol Loffay

Method Summary

Modifier and Type	Method and Description
static double[]	correlation(double[] x, int maxLag) Autocorrelation function AFC complexity: O(n^2), could be optimized to n*log(n) using FFT http://stackoverflow.com/questions/12239096/computing-autocorrelation-with-fft-using-jtransforms-library http://dsp.stackexchange.com/questions/3337/finding-peaks-in-an-autocorrelation-function in python http://stats.stackexchange.com/questions/85686/how-to-test-for-presence-of-trend-in-time-series
static double[]	covariance(double[] x, int maxLag)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

correlation

public static double[] correlation(double[] x,
                                   int maxLag)

Autocorrelation function AFC complexity: O(n^2), could be optimized to n*log(n) using FFT http://stackoverflow.com/questions/12239096/computing-autocorrelation-with-fft-using-jtransforms-library http://dsp.stackexchange.com/questions/3337/finding-peaks-in-an-autocorrelation-function in python http://stats.stackexchange.com/questions/85686/how-to-test-for-presence-of-trend-in-time-series

Returns:

array of autocorrelations including lag 0, size is maxLag + 1

covariance

public static double[] covariance(double[] x,
                                  int maxLag)