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)

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

Value

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

Author(s)

Markus Belfrage

Examples

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

f <- acf_acd(durData)
f

ACDm documentation built on May 29, 2024, 12:04 p.m.