FitAutocor | R Documentation |
This function fits the theoretical autocorrelation function of an AR1 to the first guess of the estimated autocorrelation function estacf containing any number of lags. The fitting relies on a dichotomial minimisation of the mean square differences between both autocorrelation functions. It returns the autocorrelation at lag 1 of the fitted AR1 process.
FitAutocor(estacf, window = c(-1, 1), prec = 0.01)
estacf |
First guess for the autocorrelation function. |
window |
Interval in which the autocorrelation at lag 1 should be found. |
prec |
Precision to which the autocorrelation function at lag 1 is to be estimated. |
Best estimate of the autocorrelation at lag 1.
History:
0.1 - 2012-02 (V. Guemas) - Original code
1.0 - 2013-09 (N. Manubens) - Formatting to CRAN
series <- GenSeries(1000, 0.35, 2, 1) estacf <- acf(series[951:1000], plot = FALSE)$acf alpha <- FitAutocor(estacf, c(-1, 1), 0.01) print(alpha)
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