autocovariance and convolution calculation More...
#include <ql/experimental/math/fastfouriertransform.hpp>#include <ql/math/array.hpp>#include <complex>#include <vector>
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