FitAutocor: Fits an AR1 Autocorrelation Function Using Dichotomy

In s2dverification: Set of Common Tools for Forecast Verification

Fits an AR1 Autocorrelation Function Using Dichotomy

Description

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.

Usage

FitAutocor(estacf, window = c(-1, 1), prec = 0.01)

Arguments

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.

Value

Best estimate of the autocorrelation at lag 1.

Author(s)

History:
0.1 - 2012-02 (V. Guemas) - Original code
1.0 - 2013-09 (N. Manubens) - Formatting to CRAN

Examples

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)

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