lagplot | R Documentation |
Computes and plots the nonparametric regression function of a time series against its various lags.
lagplot(x, lag.max = 6, deg = 1, nn = 0.7, method = c("locfit", "gam", "both")[1])
x |
time series |
lag.max |
maximum lag |
deg |
degree of local polynomial, needed only for the locfit method |
nn |
fraction of nearest data contained in a window, needed only for the locfit method |
method |
Two methods for nonparametric estimation: "locfit" is the default which uses the local polynomial approach via the locfit library to estimate the conditional mean function of E(X_t|X_{t-k}=x) for 1≤ k ≤ lag.max; Another method is GAM, via the mgcv library. |
Side effects: The nonparametric lagged regression functions are plotted lag by lag, with the raw data superimposed on the plots.
Kung-Sik Chan
"Time Series Analysis, with Applications in R" by J.D. Cryer and K.S. Chan
set.seed(2534567) par(mfrow=c(3,2)) y=arima.sim(n=61,model=list(ar=c(1.6,-0.94),ma=-0.64)) # lagplot(y)
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