calc_autocorr: Autocorrelation Calculator

In samplr: Compare Human Performance to Sampling Algorithms

Autocorrelation Calculator

Description

Calculates the autocorrelation of a given sequence, or of the size of the steps (returns).

Usage

calc_autocorr(chain, change = TRUE, alpha = 0.05, lag.max = 100, plot = FALSE)

Arguments

chain	Vector of n length, where n is the number of trials or sampler iterations
change	Boolean. If true, plot the autocorrelation of the change series. If false, plot the autocorrelation of the given chain.
alpha	Measure of Type I error - defaults to .05
lag.max	Length of the x axis. How far to examine the lags.
plot	Boolean. Whether to additionally plot the result.

Details

Markets display no significant autocorrelations in the returns of a given asset.

Value

A vector with the standard deviations at each lag

Examples

set.seed(1)
chain1 <- sampler_mh(1, "norm", c(0,1), diag(1))
calc_autocorr(chain1[[1]], plot=TRUE)

samplr documentation built on April 4, 2025, 12:30 a.m.