sl2acfbase | R Documentation |
Convert between vector and season-lag representations of autocovariances of multivariate and periodically correlated time series.
sl2acfbase(mat, maxlag, fullblocks = FALSE) acfbase2sl(acf) sl2vecacf(mat, maxlag, fullblocks = FALSE)
acf |
an acf as returned by base R |
mat |
a matrix containing autocovariances in season-lag arrangement. |
maxlag |
maximal lag, a positive integer. |
fullblocks |
if TRUE, keep full blocks only. |
These functions rearrange autocovariances and autocorrelations between the native season-lag arrangement in package “pcts” and the vector representations of the corresponding mutivariate models (vector of seasons representation of periodic models). Variable s is taken be season s and vice versa in the opposite direction.
“acfbase” in the names of the functions refers to the representation
returned by base function acf
.
acfbase2sl
rearranges a multivariate acf in season-lag form.
sl2acfbase
rearranges a season-lag form into the multivariate
form used by base function acf
.
sl2vecacf
is similar to sl2acfbase
but the result is
such that the lag is in the third dimension and r[ , , k]
is
Cov(X_{t}, X_{t-k}) (not its transpose). See also the examples
below and in acf2Lagged
.
for acfbase2sl
, a matrix.
for sl2acfbase
and sl2vecacf
, an array.
Georgi N. Boshnakov
## use a character matrix to illustrate the positions of the elements matsl <- rbind(paste0("Ra", 0:3), paste0("Rb", 0:3)) matsl ## convert to what I consider "standard" vec format R(k)=EX_tX_{t-k}' sl2vecacf(matsl) ## convert to the format from acf() (R(k) is the transposed from mine). sl2acfbase(matsl) identical(sl2vecacf(matsl), aperm(sl2acfbase(matsl), c(3, 2, 1))) # TRUE ## by default the conversion is lossles; ## so this contains all values from the original and some NA's: sl2acfbase(matsl) ## the orignal, matsl, can be restored: acfbase2sl(sl2acfbase(matsl)) identical(acfbase2sl(sl2acfbase(matsl)), matsl) # TRUE ## this drops some values (if necessary) to keep complete block only sl2acfbase(matsl, fullblocks = TRUE)
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