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

     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)

See Also

acf plot.acf Box.test AutocorTest

Examples

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 2, 2019, 4:40 a.m.