ac_fft {mcmcsae} | R Documentation |
Compute autocovariance or autocorrelation function via Wiener-Khinchin theorem using Fast Fourier Transform
Description
Compute autocovariance or autocorrelation function via Wiener-Khinchin theorem using Fast Fourier Transform
Usage
ac_fft(x, demean = TRUE)
Arguments
x |
matrix with time (iteration number) along the rows and variables along the columns. |
demean |
whether to subtract from each column its mean. |
Value
A matrix of the same size as x with autocovariances at all lags from 1 to the number of rows.
[Package mcmcsae version 0.7.9 Index]