unicor: Autocovariance and Autocorrelation

In TSSS: Time Series Analysis with State Space Model

Autocovariance and Autocorrelation

Description

Compute autocovariance and autocorrelation function of the univariate time series.

Usage

unicor(y, lag = NULL, minmax = c(-1.0e+30, 1.0e+30), plot = TRUE, ...)

Arguments

y	a univariate time series.
lag	maximum lag. Default is 2 \sqrt{n}, where n is the length of the time series y.
minmax	thresholds for outliers in low side and high side.
plot	logical. If TRUE (default), autocorrelations are plotted.
...	graphical arguments passed to the plot method.

Value

An object of class "unicor" which has a plot method. This is a list with the following components:

acov	autocovariances.
acor	autocorrelations.
acov.err	error bound for autocovariances.
acor.err	error bound for autocorrelations.
mean	mean of y.
tsname	the name of the univariate time series y.

References

Kitagawa, G. (2020) Introduction to Time Series Modeling with Applications in R. Chapman & Hall/CRC.

Examples

# Yaw rate, rolling, pitching and rudder angle of a ship
data(HAKUSAN)
Yawrate <- HAKUSAN[, 1]
unicor(Yawrate, lag = 50)

# seismic data
data(MYE1F)
unicor(MYE1F, lag = 50)

TSSS documentation built on Sept. 29, 2023, 9:07 a.m.