autocovariance and convolution calculation More...
#include <ql/experimental/math/fastfouriertransform.hpp>
#include <ql/math/array.hpp>
#include <complex>
#include <vector>
#include <algorithm>
#include <functional>
Namespaces | |
namespace | QuantLib |
Functions | |
template<typename ForwardIterator > | |
std::vector< std::complex< Real > > | double_ft (ForwardIterator begin, ForwardIterator end) |
template<typename InputIterator , typename OutputIterator > | |
Real | remove_mean (InputIterator begin, InputIterator end, OutputIterator out) |
template<typename ForwardIterator , typename OutputIterator > | |
void | convolutions (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Convolutions of the input sequence. | |
template<typename ForwardIterator , typename OutputIterator > | |
void | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Unbiased auto-covariances. | |
template<typename ForwardIterator , typename OutputIterator > | |
Real | autocovariances (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
Unbiased auto-covariances. | |
template<typename ForwardIterator , typename OutputIterator > | |
void | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag) |
Unbiased auto-correlations. | |
template<typename ForwardIterator , typename OutputIterator > | |
Real | autocorrelations (ForwardIterator begin, ForwardIterator end, OutputIterator out, std::size_t maxLag, bool reuse) |
Unbiased auto-correlations. | |
autocovariance and convolution calculation