sl2acfbase: Convert between vector and season-lag representations

In lagged: Classes and Methods for Lagged Objects

Convert between vector and season-lag representations

Description

Convert between vector and season-lag representations of autocovariances of multivariate and periodically correlated time series.

Usage

sl2acfbase(mat, maxlag, fullblocks = FALSE)

acfbase2sl(acf)

sl2vecacf(mat, maxlag, fullblocks = FALSE)

Arguments

acf	an acf as returned by base R acf.
mat	a matrix containing autocovariances in season-lag arrangement.
maxlag	maximal lag, a positive integer.
fullblocks	if TRUE, keep full blocks only.

Details

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.

Value

for acfbase2sl, a matrix.

for sl2acfbase and sl2vecacf, an array.

Author(s)

Georgi N. Boshnakov

Examples

## 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)

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