tvacf: Time-Varying Autocorrelation Function

In dalejbarr/autocorr: Autocorrelation toolkit for multilevel data

Description

Time-Varying Autocorrelation Function

Usage

tvacf(x, width = 7L)

Arguments

x	A time series.

Details

Slides a moving window along vector x with specified width and calulates the autocorrelation function at each time slice.

Value

A matrix, the columns vectors of which represent the results of acf applied to each time slice, including lags from 1 to width - 1.

Examples

acseries <- stat_gp(1, 2)$GP[1:50]
tvacf(acseries - mean(acseries), width = 10)
 

dalejbarr/autocorr documentation built on March 27, 2021, 3:03 a.m.