TimeSeriesFunctions Class - Extreme.Statistics.TimeSeriesAnalysis - Reference - Documentation - Math, Statistics and Matrix Libraries for .NET in C#, VB and F#

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TimeSeriesFunctions Class

Extreme Optimization Numerical Libraries for .NET Professional

Contains functiosn useful for the analysis of time series.

Inheritance Hierarchy

SystemObject
Extreme.Statistics.TimeSeriesAnalysisTimeSeriesFunctions

Namespace: Extreme.Statistics.TimeSeriesAnalysis
Assembly: Extreme.Numerics.Net40 (in Extreme.Numerics.Net40.dll) Version: 6.0.16073.0 (6.0.17150.0)

Syntax

C++

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public static class TimeSeriesFunctions

<ExtensionAttribute>
Public NotInheritable Class TimeSeriesFunctions

[ExtensionAttribute]
public ref class TimeSeriesFunctions abstract sealed

[<AbstractClassAttribute>]
[<SealedAttribute>]
[<ExtensionAttribute>]
type TimeSeriesFunctions =  class end

The TimeSeriesFunctions type exposes the following members.

Methods

	Name	Description
	AugmentedDickeyFullerTest	Returns a new Augmented Dickey-Fuller test object for the presence of a unit root.
	AutocorrelationFunction(NumericalVariable, Int32)	Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
	AutocorrelationFunction(VectorDouble, Int32)	Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
	AutocorrelationFunction(Vector, Int32)	Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
	AutoCovarianceFunction(NumericalVariable, Int32)	Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
	AutoCovarianceFunction(VectorDouble, Int32)	Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
	AutoCovarianceFunction(Vector, Int32)	Gets a vector containing the auto-correlation function (ACF) of a series up to the specified order.
	Difference(NumericalVariable)	Computes a differenced time series.
	Difference(VectorDouble)	Computes a differenced time series.
	Difference(NumericalVariable, Int32)	Computes a differenced time series.
	Difference(VectorDouble, Int32)	Computes a differenced time series.
	DurbinWatsonStatistic	Returns the Durbin-Watson statistic for the specified residuals.
	GetAutocorrelationFunctionInfo	Returns a data frame containing information about the auto-correlation function of a series, optionally including confidence intervals and Ljung-Box Q statistics and p-values.
	PartialAutocorrelationFunction(VectorDouble)	Computes the Partial Auto-Correlation Function (PACF) from an Auto-Correlation Function (ACF).
	PartialAutocorrelationFunction(Vector)	Computes the Partial Auto-Correlation Function (PACF) from an Auto-Correlation Function (ACF).

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Remarks

Use the TimeSeriesFunctions to obtain information about variables that contain time series data. The methods in this class are defined as extension methods.

Version Information

Numerical Libraries

Supported in: 6.0, 5.x, 4.x

Reference

Extreme.Statistics.TimeSeriesAnalysis Namespace

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