[−][src]Function arima::acf::var_phi_rho_cov

pub fn var_phi_rho_cov<T: Float + From<u32> + From<f64> + Copy + Add + AddAssign + Div>(
    phi: &[T], 
    rho: &[T], 
    cov0: T
) -> Result<T, ArimaError>

Estimate the variance of a time series of length n, given the AR parameters, auto-correlation coefficients (ACF), and the auto-covariance for lag zero.

Arguments

&x - Reference to input vector slice of length n.
order - Order of the AR model. Defaults to n-1.

Returns

Estimated variance.

Example

use arima::acf;
let x = [1.0, 1.2, 1.4, 1.6];
let rho = acf::acf(&x, Some(3), false).unwrap();
let cov0 = acf::acf(&x, Some(0), true).unwrap()[0].clone();
let (phi, _var) = acf::ar_dl_rho_cov(&rho, cov0, Some(2)).unwrap();
acf::var_phi_rho_cov(&phi, &rho, cov0);