Computes the autocovariance, autocorrelation or partial autocorrelation sequences for various stochastic fractal time series models.

1 |

`x` |
an object of class |

`lag.max` |
the maximum number of lags at which to compute the autocovariance,
the autocorrelation or the partial autocorrelation. Default: |

`type` |
a character string defining the output type based on the following options: - "covariance"
autocovariance sequence - "correlation"
autocorrelation sequence - "partial"
partial autocorrelation sequence
Default: |

The autocovariance sequence is computed using Equation (2.10) of Beran (1994). The autocorrelation sequence is computed by dividing the autocovariance sequence by the variance of the process (i.e., the value of the autocovariance sequence at lag zero). The partial autocorrelation sequence is computed using the Levinson-Durbin recursions.

an object of class `signalSeries`

containing the result.

D. Percival and A. Walden (2000),
*Wavelet Methods for Time Series Analysis*,
Cambridge University Press, Chapter 7.

J. Beran (1994),
*Statistics for Long-Memory Processes*,
Chapman and Hall, Chapter 2.

D. Percival and A. Walden (1993),
*Spectral Analysis for Physical Applications*,
Cambridge University Press, 1993, Chapter 9.

`lmModel`

, `lmSDF`

, `lmSimulate`

, `ACVStoPACS`

.

1 2 3 4 5 6 7 8 |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.