autocovariance() [4/4]

template<typename T , typename DerivedA , typename DerivedB >

void stan::math::autocovariance	(	const Eigen::MatrixBase< DerivedA > &	y,
		Eigen::MatrixBase< DerivedB > &	acov
	)

Write autocovariance estimates for every lag for the specified input sequence into the specified result.

The return vector be resized to the same length as the input sequence with lags given by array index.

The implementation involves a fast Fourier transform, followed by a normalization, followed by an inverse transform.

This method is just a light wrapper around the three-argument autocovariance function

Template Parameters

T	scalar type
DerivedA	type of the first matrix
DerivedB	type of the second matrix

Parameters

y	Input sequence.
acov	Autocovariances.

Definition at line 118 of file autocovariance.hpp.