autocovariance.hpp

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#ifndef STAN__PROB__AUTOCOVARIANCE_HPP
#define STAN__PROB__AUTOCOVARIANCE_HPP

#include <stan/prob/autocorrelation.hpp>
#include <stan/math/matrix/variance.hpp>

namespace stan {
  
  namespace prob {

    
    template <typename T>
    void autocovariance(const std::vector<T>& y,
                        std::vector<T>& acov,
                        Eigen::FFT<T>& fft) {
      
      stan::prob::autocorrelation(y, acov, fft);

      T var = stan::math::variance(y) * (y.size()-1) / y.size();
      for (size_t i = 0; i < y.size(); i++) {
        acov[i] *= var;
      }
    }

    template <typename T>
    void autocovariance(const std::vector<T>& y,
                        std::vector<T>& acov) {
      Eigen::FFT<T> fft;
      autocovariance(y,acov,fft);
    }


  }
}

#endif