# Acf: Autocorrelation Function In FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

## Description

Plot the ACF without the traditional noninformation unit spike at lag 0.

## Usage

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14``` ``` Acf(x, lag.max = NULL, type = c("correlation", "covariance", "partial"), plot = TRUE, na.action = na.fail, demean = TRUE, ...) ## S3 method for class 'Acf' plot(x, ci = 0.95, type = "h", xlab = "Lag", ylab = NULL, ylim = NULL, main = NULL, ci.col = "blue", ci.type = c("white", "ma"), max.mfrow = 6, ask = Npgs > 1 && dev.interactive(), mar = if(nser > 2) c(3,2,2,0.8) else par("mar"), oma = if(nser > 2) c(1,1.2,1,1) else par("oma"), mgp = if(nser > 2) c(1.5,0.6,0) else par("mgp"), xpd = par("xpd"), cex.main = if(nser > 2) 1 else par("cex.main"), verbose = getOption("verbose"), acfLag0=FALSE, ...) ```

## Arguments

These functions are provided to make it easy to plot an autocorrelation function without the noninformative unit spike at lag 0. This is done by calling plot(x, acfLag0=FALSE, ...). Apart from the 'acfLag0' argument, the rest of the arguments are identical to those for 'acf' and 'plot.acf'.

 `x` for 'acf': a numeric vector or time series. for 'plot.acf': an object of class 'acf'. `lag.max` maximum lag at which to calculate the acf. `ci` coverage probability for confidence interval for 'plot.acf'. `type` the type of 'acf' or 'plot' `plot` logical. If 'TRUE' the 'acf' function will call 'plot.acf'. `na.action` function to be called by 'acf' to handle missing values. `demean` logical: Should the x be replaced by (x-mean(x)) before computing the sums of squares and lagged cross products to produce the 'acf'? ```xlab, ylab, ylim, main, ci.col, ci.type, max.mfrow, ask, mar, oma, mgp, xpd, cex.main, verbose``` as described with help('acf', package='stats') `acfLag0` logical: TRUE to plot the traditional noninformation unit spike at lag 0. FALSE to omit that spike, consistent with the style in Tsay (2005). `...` further arguments passed to 'plot.acf'

## Value

The 'acf' function returns an object of class 'Acf', which inherits from class 'acf', as described with help('acf', package='stats').

The 'plot.Acf' function returns NULL.

## Author(s)

Spencer Graves for the FinTS modification of 'plot.acf'.

## References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)

`acf` `plot.acf` `Box.test` `AutocorTest`

## Examples

 ```1 2 3 4 5``` ```data(m.ibm2697) Acf(m.ibm2697) Acf(m.ibm2697, lag.max=100) Acf(m.ibm2697, lag.max=100, main='Monthly IBM returns, 1926-1997') ```

### Example output

```Loading required package: zoo

Attaching package: 'zoo'

The following objects are masked from 'package:base':

as.Date, as.Date.numeric
```

FinTS documentation built on May 29, 2017, 9:08 a.m.