(* ::Package:: *)

BeginPackage["timeseries`"];


autoCorrelation::usage = "auto correlation";
autoCovariance::usage = "covariance against a time shifted version";




Begin["`Private`"];



(* ::Input:: *)
(**)


autoCorrelation[data0_, h0_, t0_]:= Module[{data = data0, h =h0, t =t0,datatimet,datatimetplush,cov1h, cov10},

datatimet = data[[t;;Length[data]-h]];

datatimetplush = data[[t+h;;Length[data]]];
cov1h=Covariance[datatimet,datatimetplush];

h=0;
datatimet = data[[t;;Length[data]-h]];
datatimetplush = data[[t+h;;Length[data]]];
cov10=Covariance[datatimet,datatimetplush];

(cov1h/cov10)//N
];

(* Covariace of the same signal between t+h0 and t+h1 shifts *)
autoCovariance[data0_, h0_,h1_, t0_]:= Module[{data = data0, hh0 =h0, hh1= h1,t =t0,datatimet,datatimetplush,cov1h,h},

h = Abs[hh0-hh1];
datatimet = data[[t;;Length[data]-h]];

datatimetplush = data[[t+h;;Length[data]]];
cov1h=Covariance[datatimet,datatimetplush];


cov1h//N
];


End[];
EndPackage[];