autocov
autocov(x, [lags]; demean=true)Compute the autocovariance of a vector or matrix x, optionally specifying the lags at which to compute the autocovariance. demean denotes whether the mean of x should be subtracted from x before computing the autocovariance.
If x is a vector, return a vector of the same length as lags. If x is a matrix, return a matrix of size (length(lags), size(x,2)), where each column in the result corresponds to a column in x.
When left unspecified, the lags used are the integers from 0 to min(size(x,1)-1, 10*log10(size(x,1))).
The output is not normalized. See autocor for a function with normalization.
Methods
# 3 methods for generic function "autocov" from GMT:
[1] autocov(x::AbstractVecOrMat{<:Real}; demean)
[2] autocov(x::AbstractMatrix{<:Real}, lags::AbstractVector{<:Integer}; demean)
[3] autocov(x::AbstractVector{<:Real}, lags::AbstractVector{<:Integer}; demean)