CovarianceFunction¶

Sample autocovariance of a numeric time series at a given lag, (1/n) Sum_{t=1}^{n-|h|} (x_t - xbar)(x_{t+|h|} - xbar).

$ wo 'CovarianceFunction[{2, 3, 4, 3}, 2]'
-1/4

Lag zero is the variance (with the 1/n normalization).

$ wo 'CovarianceFunction[{2, 3, 4, 3}, 0]'
1/2

The autocovariance is symmetric, so a negative lag equals its magnitude.

$ wo 'CovarianceFunction[{1, 2, 3, 4, 5}, -2]'
-1/5