Autocorrelation

gsl_stats_lag1_autocorrelation(data)

This function computes the lag-1 autocorrelation of the dataset data.

\[a_1 = {\sum_{i = 2}^{n} (x_{i} - \hat{\mu}) (x_{i-1} - \hat{\mu}) \over \sum_{i = 1}^{n} (x_{i} - \hat{\mu}) (x_{i} - \hat{\mu})}\]

gsl_stats_lag1_autocorrelation_m(data, mean)

This function computes the lag-1 autocorrelation of the dataset data using the given value of the mean mean.

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Higher moments (skewness and kurtosis)

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Covariance