trace_bicov.h File Reference

Bicovariance of a trace on a lag grid. More...

#include <cstddef>
#include <vector>
#include "line/api/trace/trace_joint.h"
#include "line/api/trace/trace_types.h"
#include "line/num/number.h"
#include "line/util/error.h"

Include dependency graph for trace_bicov.h:

Go to the source code of this file.

Classes
struct	line::trace::TraceBicovResult< T >
	Return value of trace_bicov, mirroring [BiCov, BiCovLags]. More...

Namespaces
namespace	line
namespace	line::trace

Functions
template<class T>
TraceBicovResult< T >	line::trace::trace_bicov (const std::vector< T > &S, const std::vector< int > &grid)
	Bicovariance of a trace on a lag grid.

Detailed Description

Bicovariance of a trace on a lag grid.

Templated port of matlab/lib/kpctoolbox/trace/trace_bicov.m, cross-checked against jar/src/main/java/jline/api/trace/Trace_var.java#trace_bicov (same grid construction; the JAR values differ because its trace_joint drops the cumulative sum, see trace_joint.h).

For every ordered pair (i,j) drawn from the grid the third-order joint moment E[X_t X_{t+i} X_{t+i+j}] is evaluated. Note that both references return the raw joint moment, not a centred cumulant, despite the name.

ARITHMETIC: a vector of joint moments, exact in Rational.

Definition in file trace_bicov.h.