External module "ql/math/autocovariance"

Results are calculated via FFT. The first element of the output is the unbiased sample variance.

Input data are supposed to be centered (i.e., zero mean). The size of the output sequence must be maxLag + 1

Results are calculated via FFT. The first element of the output is the unbiased sample variance.

This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.

The size of the output sequence must be maxLag + 1

Results are calculated via FFT.

• Input data are supposed to be centered (i.e., zero mean).
• The size of the output sequence must be maxLag + 1

This overload accepts non-centered data, removes the mean and returns it as a result. The centered sequence is written back into the input sequence if the reuse parameter is true.

The size of the output sequence must be maxLag + 1

Calculates $x[0]x[n]+x[1]x[n+1]+x[2]*x[n+2]+...$

for n = 0,1,...,maxLag via FFT.

The size of the output sequence must be maxLag + 1