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mcmcsae (version 0.6.0)

ac_fft: Compute autocovariance or autocorrelation function via Wiener-Khinchin theorem using Fast Fourier Transform

Description

Compute autocovariance or autocorrelation function via Wiener-Khinchin theorem using Fast Fourier Transform

Usage

ac_fft(x, demean = TRUE)

Arguments

x

matrix with time (iteration number) along the rows and variables along the columns.

demean

whether to subtract from each column its mean.

Value

A matrix of the same size as x with autocovariances at all lags from 1 to the number of rows.