ACF: (Partial) Autocorrelation and Cross-Correlation Function...

In tidyverts/tsibblestats: Feature Extraction and Statistics for Time Series

(Partial) Autocorrelation and Cross-Correlation Function Estimation

Description

The function ACF computes an estimate of the autocorrelation function of a (possibly multivariate) tsibble. Function PACF computes an estimate of the partial autocorrelation function of a (possibly multivariate) tsibble. Function CCF computes the cross-correlation or cross-covariance of two columns from a tsibble.

Usage

ACF(
  .data,
  y,
  ...,
  lag_max = NULL,
  type = c("correlation", "covariance", "partial"),
  na.action = na.contiguous,
  demean = TRUE,
  tapered = FALSE
)

PACF(.data, y, ..., lag_max = NULL, na.action = na.contiguous, tapered = FALSE)

CCF(
  .data,
  y,
  x,
  ...,
  lag_max = NULL,
  type = c("correlation", "covariance"),
  na.action = na.contiguous
)

Arguments

.data	A tsibble
...	The column(s) from the tsibble used to compute the ACF, PACF or CCF.
lag_max	maximum lag at which to calculate the acf. Default is 10*log10(N/m) where N is the number of observations and m the number of series. Will be automatically limited to one less than the number of observations in the series.
type	character string giving the type of acf to be computed. Allowed values are "correlation" (the default), "covariance" or "partial". Will be partially matched.
na.action	function to be called to handle missing values. na.pass can be used.
demean	logical. Should the covariances be about the sample means?
tapered	Produces banded and tapered estimates of the (partial) autocorrelation.
x, y	a univariate or multivariate (not ccf) numeric time series object or a numeric vector or matrix, or an "acf" object.

Details

The functions improve the stats::acf(), stats::pacf() and stats::ccf() functions. The main differences are that ACF does not plot the exact correlation at lag 0 when type=="correlation" and the horizontal axes show lags in time units rather than seasonal units.

The resulting tables from these functions can also be plotted using autoplot.tbl_cf().

Value

The ACF, PACF and CCF functions return objects of class "tbl_cf", which is a tsibble containing the correlations computed.

Author(s)

Mitchell O'Hara-Wild and Rob J Hyndman

References

Hyndman, R.J. (2015). Discussion of "High-dimensional autocovariance matrices and optimal linear prediction". Electronic Journal of Statistics, 9, 792-796.

McMurry, T. L., & Politis, D. N. (2010). Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. Journal of Time Series Analysis, 31(6), 471-482.

See Also

stats::acf(), stats::pacf(), stats::ccf()

Examples

library(tsibble)
library(tsibbledata)
library(dplyr)

vic_elec %>% ACF(Temperature)

vic_elec %>% ACF(Temperature) %>% autoplot()

vic_elec %>% PACF(Temperature)

vic_elec %>% PACF(Temperature) %>% autoplot()

global_economy %>%
  filter(Country == "Australia") %>%
  CCF(GDP, Population)

global_economy %>%
  filter(Country == "Australia") %>%
  CCF(GDP, Population) %>%
  autoplot()

tidyverts/tsibblestats documentation built on March 18, 2024, 9:47 a.m.