acf_acd: Autocorrelation function plots for ACD models

In ACDm: Tools for Autoregressive Conditional Duration Models

Autocorrelation function plots for ACD models

Description

plots the ACF (Auto Correlation Function) for the durations, diurnally adjusted durations, and residuals.

Usage

acf_acd(fitModel = NULL, conf_level = 0.95, max = 50, min = 1,
        plotDur = TRUE, plotAdjDur = TRUE, plotResi = TRUE)

Arguments

fitModel	a fitted model of class "acdFit", or a data.frame containing at least one the columns "durations", "adjDur", or "residuals". Can also be a vector of durations or residuals.
conf_level	the confidence level of the confidence bands
max	the largest lag to plot
min	the smallest lag to plot
plotDur, plotAdjDur, plotResi	logical falgs. If FALSE, the respective ACF wont be plotted.

Value

returns a data.frame with the values of the sample autocorrelations for each lag and variable.

Author(s)

Markus Belfrage

Examples

data(adjDurData)
fitModel <- acdFit(adjDurData)
acf_acd(fitModel, conf_level = 0.95, max = 50, min = 1)

data(durData)
f <- acf_acd(durData)
f

ACDm documentation built on Aug. 8, 2025, 7:44 p.m.