autcor: Autocorrelation
In timsac: Time Series Analysis and Control Package

autcor

R Documentation

Autocorrelation

Description

Estimate autocovariances and autocorrelations.

Usage

autcor(y, lag = NULL, plot = TRUE, lag_axis = TRUE)

Arguments

`y`	a univariate time series.
`lag`	maximum lag. Default is `2 \sqrt{n}`, where `n` is the length of the time series `y`.
`plot`	logical. If `TRUE` (default), autocorrelations are plotted.
`lag_axis`	logical. If `TRUE` (default) with plot = `TRUE`, `x`-axis is drawn.

Value

`acov`	autocovariances.
`acor`	autocorrelations (normalized covariances).
`mean`	mean of `y`.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

# Example 1 for the normal distribution 
y <- rnorm(200)
autcor(y, lag_axis = FALSE)

# Example 2 for the ARIMA model
y <- arima.sim(list(order=c(2,0,0), ar=c(0.64,-0.8)), n = 200)
autcor(y, lag = 20)

timsac documentation built on Sept. 30, 2023, 5:06 p.m.