acf2Lagged: Convert "acf" objects to "Lagged" objects

In lagged: Classes and Methods for Lagged Objects

Convert "acf" objects to "Lagged" objects

Description

Convert "acf" objects to "Lagged" objects.

Usage

acf2Lagged(x)

Arguments

x	an object from "S3" class "acf", typically obtained from acf() and related functions.

Details

acf2Lagged() converts objects produced by acf() and friends to suitable "Lagged" objects.

Partial autocorrelations obtained from acf() do not contain value for lag zero. acf2Lagged() puts the number 1 at lag zero in the univariate case and a matrix of NA's in the multivariate case.

Value

an object from class "Lagged1d" (univariate case) or "Lagged3d" (multivariate case)

Author(s)

Georgi N. Boshnakov

Examples

## using examples from help(acf)
lh_acf <- acf2Lagged(acf(lh))

lh_acf[0:5]
acf(lh, plot = FALSE)$acf[1 + 0:5] # same

acf(ts.union(mdeaths, fdeaths))$acf[15,,]

deaths_mts <- ts.union(mdeaths, fdeaths)
deaths_acf <- acf2Lagged(acf(deaths_mts))
base_acf <- acf(deaths_mts)

## rho_14
deaths_acf[14]
base_acf$acf[1 + 14, , ] # same
## this is different and maybe surprising to some:
base_acf[14]
## (see also examples in \link{Lagged})

lagged documentation built on Aug. 7, 2022, 5:19 p.m.