AutoCorr: AutoCorrelation

In Mthrun/TSAT: Time Series Analysis Tools (TSAT)

AutoCorrelation

Description

Calculates the AutoCorrelation function

Usage

AutoCorr(TimeSeries, nLags = 2, PlotIt = FALSE,...)

Arguments

TimeSeries	A numeric time series object, or a numeric vector/matrix.
nLags	Number of lags. Default is 2.
PlotIt	Boolean, TRUE if auto correlation plot should be printed, FALSE else. Default is FALSE.
...	further arguments passed on to output of ccf

Details

Calculation is based on the sample covariance. For further details see acf.

Value

List with

acf	A three dimensional array containing the estimated acf.
type	"Correlation".
n.used	The number of observations in the time series.
lag	A three dimensional array containing the lags at which the acf is estimated.
series	Name of time series
snames	The series names for a multivariate time series. NULL for univariate time series.

Author(s)

Michael Thrun

Examples

data("ElectricityBRD")
res = AutoCorr(ElectricityBRD$Mrd_KWh, nLags = 5, PlotIt = TRUE, main="Electricity production in BRD in Mrd KWh")

Mthrun/TSAT documentation built on Feb. 5, 2024, 11:15 p.m.