How can I compute the autocorrelation of a sample using Math.NET

Question

Apparently Math.Net library does not contain a function for obtaining the autocorrelation of a sample.

How can this be achievied using the same library?

Answer 1

The function:

double ACF<T>(IEnumerable<T> series, int lag, Func<T, double> f)

in MathNet.Numerics.Statistics.Mcmc

calculates an autocorrelation.

An example of using it is in the unit test.

A snippet from it is:

var series = new double[length];

for (int i = 0; i < length; i++)
{ series[i] = RandomSeries(); }

double result = MCMCDiagnostics.ACF(series, lag, x=>x*x);