AbsoluteCorrelationFunction

AbsoluteCorrelationFunction[data,hspec]

estimates the absolute correlation function at lags hspec from data.

AbsoluteCorrelationFunction[proc,hspec]

represents the absolute correlation function at lags hspec for the random process proc.

AbsoluteCorrelationFunction[proc,s,t]

represents the absolute correlation function at times s and t for the random process proc.

Details

Examples

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Basic Examples  (4)

Estimate the absolute correlation function at lag 2:

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Sample the absolute correlation function for a random sample from an autoregressive time series:

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The absolute correlation function for a discrete-time process:

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The absolute correlation function for a continuous-time process:

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Scope  (13)

Applications  (2)

Properties & Relations  (13)

Possible Issues  (1)

See Also

CovarianceFunction  CorrelationFunction  PartialCorrelationFunction  Covariance  Correlation  WeakStationarity  PowerSpectralDensity

Introduced in 2012
(9.0)