calc_theo_sercor: Calculate theoretical serial correlation at a given lag from...
In PaulMTeggin/practechniques: Functions for the Practical Actuarial Techniques online book
View source: R/overlapping_data.R
calc_theo_sercor R Documentation
Calculate theoretical serial correlation at a given lag from overlapped data
Description
Serial correlation arises from overlapped data because some of the information is 'shared'
between successive overlapping observations. The amount of serial correlation
is a function of the lag between observations and the extent of the overlap.
For example the serial correlation between Jan-Dec and Feb-Jan observations is higher
than between Jan-Dec and Sep-Aug-next-year observations.
Usage
calc_theo_sercor(noverlap, lag)
Arguments
noverlap
The extent of the overlap, e.g. 12 means annual overlaps from monthly data.
1 means no overlap.
lag
The lag in time between two overlapped observations.
The serial correlation at lags equal to or higher than noverlap is zero.
Details
The formula follows from writing each overlapping observation as the sum of
noverlap independent observations and counting the extent to which these two sets overlap.
Where the lag is higher than the overlap no information is shared and the theoretical
serial correlation becomes zero.
Value
The theoretical serial correlation.
See Also
Other Overlapping data functions:
build_theo_sercor_mtx()
Examples
calc_theo_sercor(12, 0:12)
PaulMTeggin/practechniques documentation built on Aug. 19, 2023, 4:44 p.m.
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View source: R/overlapping_data.R
| calc_theo_sercor | R Documentation |
Calculate theoretical serial correlation at a given lag from overlapped data
Description
Serial correlation arises from overlapped data because some of the information is 'shared' between successive overlapping observations. The amount of serial correlation is a function of the lag between observations and the extent of the overlap. For example the serial correlation between Jan-Dec and Feb-Jan observations is higher than between Jan-Dec and Sep-Aug-next-year observations.
Usage
calc_theo_sercor(noverlap, lag)
Arguments
noverlap |
The extent of the overlap, e.g. 12 means annual overlaps from monthly data. 1 means no overlap. |
lag |
The lag in time between two overlapped observations.
The serial correlation at lags equal to or higher than |
Details
The formula follows from writing each overlapping observation as the sum of
noverlap independent observations and counting the extent to which these two sets overlap.
Where the lag is higher than the overlap no information is shared and the theoretical
serial correlation becomes zero.
Value
The theoretical serial correlation.
See Also
Other Overlapping data functions:
build_theo_sercor_mtx()
Examples
calc_theo_sercor(12, 0:12)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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