get_acf_qnt: Get sample quantiles of the autocorrelation coefficients of...

In juhokalle/rmfd4dfm: Estimation of DFMs using RMFD-E parametrization

Get sample quantiles of the autocorrelation coefficients of the variables

Description

This function prints the percent quantiles of the autocorrelation coefficients of the variables included in the data set. This is a simple way to summarize the degree of non-stationarity and persistence of the variables. The number of lags at which autocorrelations are calculated and the grid of probabilities for the percent quantiles can be defined.

Usage

get_acf_qnt(df, lag.acf = 8, qnt_grid = c(0.05, 0.25, 0.5, 0.75, 0.95))

Arguments

df	T x N data matrix
lag.acf	maximum number of lags at which the autocorrelations are calculated
qnt_grid	vector of probabilities determining the sample percent quantiles

Value

Quantile table giving the distribution of autocorrelation coefficients at different lags

juhokalle/rmfd4dfm documentation built on July 18, 2024, 10:19 p.m.