Description This package performs time series analysis on a set of data that may be highly correlated. The estimator performs a "Blocking Method" to output the true mean and standard error (variance) for a given column of data. For more information on the method refernce:
@article{article, author = {Flyvbjerg, Henrik and Petersen, H.G.}, year = {1989}, month = {07}, pages = {}, title = {Error Estimates on Averages of Correlated Data}, volume = {91}, journal = {The Journal of Chemical Physics}, doi = {10.1063/1.457480} }
Usage The function ~estimate~ returns two values: the mean and variance. Insert a ~Vector~ of ~Float64~ to recieve the statistics of that column.
using BlockingMethod
x = rand(1000)
mn, ste = estimate(x)