Alpha: Estimates AutoCorrelation At Lag 1 following Guemas et al,...

In s2dverification: Set of Common Tools for Forecast Verification

Estimates AutoCorrelation At Lag 1 following Guemas et al, BAMS, 2013b

Description

This function, relying on the FitAcfCoef() function, estimates the autocorrelation at lag 1 of the xdata array following the method described in Guemas V., Auger L., Doblas-Reyes F., JAMC, 2013. After applying a linear detrending and/or a filtering of any frequency peak if requested, the sample autocorrelation is estimated.
Then the theoretical autocorrelation of an AR1 is fitted to the sample autocorrelation using the Cardano's formula (see FitAcfCoef()) to obtain the autocorrelation at lag 1. This method assumes xdata is an AR1 process.

Usage

Alpha(xdata, detrend = FALSE, filter = FALSE)

Arguments

xdata	Timeseries from which the autocorrelation at lag 1 is requested.
detrend	TRUE applies a linear detrending to xdata prior to the estimation of the autocorrelation at lag 1.
filter	TRUE applies a filtering of any frequency peak prior to the estimation of the autocorrelation at lag 1.

Value

Autocorrelation at lag 1.

Author(s)

History:
0.1 - 2012-06 (V. Guemas) - Original code
1.0 - 2013-09 (N. Manubens) - Formatting to CRAN

Examples

# Load sample data as in Load() example:
example(Load)
alpha <- Alpha(sampleData$mod[1, 1, , 1])
print(alpha)

s2dverification documentation built on April 20, 2022, 9:06 a.m.