autocovariance.hpp File Reference

autocovariance and convolution calculation More...

#include <ql/experimental/math/fastfouriertransform.hpp>
#include <ql/math/array.hpp>
#include <complex>
#include <vector>
#include <algorithm>
#include <functional>
Include dependency graph for autocovariance.hpp:

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.
 

Detailed Description

autocovariance and convolution calculation