plot_autocorr: Autocorrelation Plotter
In lucas-castillo/SampleR: Tools To Compare Human Performance To Sampling Algorithms

Plots the autocorrelation of a given sequence, or of the size of the steps (returns).

1	plot_autocorr(chain, changeACF = TRUE, alpha = 0.05, lag.max = 100)

`chain`	Vector of n length, where n is the number of trials or sampler iterations
`changeACF`	Boolean. If true, plot the autocorrelation of the change series. If false, plot the autocorrelation of the given chain.
`alpha`	Measure of Type I error - defaults to .05
`lag.max`	Length of the x axis. How far to examine the lags.

Markets display no significant autocorrelations in the returns of a given asset.

An autocorrelation plot

target <- distr::Norm()
pd_func <- make_distr_pdf(target)
chain1 <- sampler_mcmc(pd_func, 0, sigma_prop = 1)
plot_autocorr(chain1[[1]])

lucas-castillo/SampleR documentation built on Jan. 1, 2021, 8:25 a.m.

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