Description Usage Arguments Value

View source: R/moving_ac_corrected.R

Transforms the data X by centring and scaling using *X_{ij}^{'} = \frac{X_{ij}-μ_{ij}}{k_{i} σ_{ij}}* where *μ_{ij}* and *σ_{ij}* are
robust estimates for location and scale based on the median and the median absolute deviation of each variate (column) *X_{i}* of X calculated on a moving window centred at j.
The scaling *k_{i} = \surd{≤ft( \frac{1+φ_{i}}{1-φ_{i}} \right)}* is a robust estimate for the autocorrelation at lag 1 calculated on an initial (burn-in) segment
of the data where *φ_{i}* is calculated using a robust estimate for the autocorrelation of the burn-in segment.

1 | ```
moving_ac_corrected(X, burnin, window_size)
``` |

`X` |
A numeric matrix containing the potentially multivariate data to be transformed. Each column corresponds to a component and each row to an observation. The time series data classes ts, xts, and zoo are also supported. |

`burnin` |
A positive integer indicating the initial length of the data used to determine the value of |

`window_size` |
A positive integer indication the length of the moving window. |

A numeric matrix of the same dimension as X containing the transformed data.

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