SACF: Computing Sum of the Sample Autocorrelation Function

In Hassani.SACF: Computing Lower Bound of Ljung-Box Test

Computing Sum of the Sample Autocorrelation Function

Description

The sum of the sample autocorrelation function, found in many standard time series textbooks and software, at lag h is considered. It is shown that this sum is always minus half for any stationary time series with arbitrary length L.

Usage

SACF(x)

Arguments

x	it is stationary time series.

Value

A number. It computes SACF.

Author(s)

Hossein hassani, Masoud yarmohammdi, Mohammad reza yeganegi and Leila Marvian Mashhad.

References

A note on the sum of the sample autocorrelation function Hossein Hassani Statistics Group, Cardiff School of Mathematics, Cardiff University, CF24 4AG, UK 2-Statistical Research and Training Center, Tehran, 1413717911, Iran

See Also

Box.test

Examples

x = rnorm(50,mean = 0,sd = 1)
SACF(x)

Hassani.SACF documentation built on July 9, 2023, 7:26 p.m.