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{-# LANGUAGE FlexibleContexts #-}
-- |
-- Module : Statistics.Autocorrelation
-- Copyright : (c) 2009 Bryan O'Sullivan
-- License : BSD3
--
-- Maintainer : bos@serpentine.com
-- Stability : experimental
-- Portability : portable
--
-- Functions for computing autocovariance and autocorrelation of a
-- sample.
module Statistics.Autocorrelation
(
autocovariance
, autocorrelation
) where
import Prelude hiding (sum)
import Statistics.Function (square)
import Statistics.Sample (mean)
import Statistics.Sample.Internal (sum)
import qualified Data.Vector.Generic as G
-- | Compute the autocovariance of a sample, i.e. the covariance of
-- the sample against a shifted version of itself.
autocovariance :: (G.Vector v Double, G.Vector v Int) => v Double -> v Double
autocovariance a = G.map f . G.enumFromTo 0 $ l-2
where
f k = sum (G.zipWith (*) (G.take (l-k) c) (G.slice k (l-k) c))
/ fromIntegral l
c = G.map (subtract (mean a)) a
l = G.length a
-- | Compute the autocorrelation function of a sample, and the upper
-- and lower bounds of confidence intervals for each element.
--
-- /Note/: The calculation of the 95% confidence interval assumes a
-- stationary Gaussian process.
autocorrelation :: (G.Vector v Double, G.Vector v Int) => v Double -> (v Double, v Double, v Double)
autocorrelation a = (r, ci (-), ci (+))
where
r = G.map (/ G.head c) c
where c = autocovariance a
dllse = G.map f . G.scanl1 (+) . G.map square $ r
where f v = 1.96 * sqrt ((v * 2 + 1) / l)
l = fromIntegral (G.length a)
ci f = G.cons 1 . G.tail . G.map (f (-1/l)) $ dllse
|
