acf_rs: Calculate regime-switching auto-correlation

In mcgf: Markov Chain Gaussian Fields Simulation and Parameter Estimation

Calculate regime-switching auto-correlation

Description

Calculate regime-switching auto-correlation

Usage

acf_rs(x, label, lag_max, demean = TRUE)

Arguments

x	A univariate numeric time series.
label	A factor of regime labels.
lag_max	Maximum lag at which to calculate the acf.
demean	Logical. Should the covariances be about the sample means?

Value

Mean auto-correlations for each group in label.

Examples

set.seed(123)
x <- rnorm(100)
label <- sample(1:2, 100, replace = TRUE)
acf_rs(x, label = factor(label), lag_max = 3)

mcgf documentation built on June 29, 2024, 9:09 a.m.