acfm: ACF and CCF for Multiple Time Series

In astsa: Applied Statistical Time Series Analysis

ACF and CCF for Multiple Time Series

Description

Produces a grid of plots of the sample ACF (diagonal) and CCF (off-diagonal). The values are returned invisibly.

Usage

acfm(series, max.lag = NULL,  na.action = na.pass, ylim = NULL,
      acf.highlight = TRUE, plot = TRUE, ...)

Arguments

series	Multiple time series (at least 2 columns of time series)
max.lag	Maximum lag. Can be omitted. Defaults to \sqrt{n} + 10 unless n < 60. If the series is seasonal, this will be at least 4 seasons by default.
na.action	How to handle missing data; default is na.pass
ylim	Specify limits for the all correlation axes. If NULL (default) the values are a little wider than the min and max of all values.
acf.highlight	If TRUE (default), the diagonals (ACFs) are highlighted.
plot	If TRUE (default), you get a wonderful graphic.
...	Additional arguments passed to tsplot

Details

Produces a grid of plots of the sample ACF (diagonal) and CCF (off-diagonal). The plots in the grid are estimates of corr{x(t+LAG), y(t)}. Thus x leads y if LAG is positive and x lags y if LAG is negative. If plot is FALSE, then there is no graphic.

Value

The correlations are returned invisibly.

Author(s)

D.S. Stoffer

References

You can find demonstrations of astsa capabilities at FUN WITH ASTSA.

The most recent version of the package can be found at https://github.com/nickpoison/astsa/.

In addition, the News and ChangeLog files are at https://github.com/nickpoison/astsa/blob/master/NEWS.md.

The webpages for the texts and some help on using R for time series analysis can be found at https://nickpoison.github.io/.

See Also

acf1, acf2, ccf2

Examples

acfm(diff(log(econ5)), gg=TRUE, acf.highlight=FALSE)

( acfm(diff(log(econ5)), 2, plot=FALSE) )

astsa documentation built on May 29, 2024, 10:29 a.m.