Acf: Autocorrelation Function

In FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

Autocorrelation Function

Description

Plot the ACF without the traditional noninformation unit spike at lag 0.

Usage

Acf(x, lag.max = NULL, type = c("correlation", "covariance", "partial"),
    plot = TRUE, na.action = na.fail, demean = TRUE, ...)

## S3 method for class 'Acf'
plot(x, ci = 0.95, type = "h", xlab = "Lag", ylab = NULL, ylim = NULL, 
     main = NULL, ci.col = "blue", ci.type = c("white", "ma"), 
     max.mfrow = 6, ask = Npgs > 1 && dev.interactive(), 
     mar = if (nser > 2) c(3, 2, 2, 0.8) else par("mar"), 
     oma = if (nser > 2) c(1, 1.2, 1, 1) else par("oma"), 
     mgp = if (nser > 2) c(1.5, 0.6, 0) else par("mgp"), 
     xpd = par("xpd"), cex.main = if (nser > 2) 1 else par("cex.main"), 
     verbose = getOption("verbose"), acfLag0 = FALSE, ...)

Arguments

x	for 'acf': a numeric vector or time series. for 'plot.acf': an object of class 'acf'.
lag.max	maximum lag at which to calculate the acf.
ci	coverage probability for confidence interval for 'plot.acf'.
type	the type of 'acf' or 'plot'
plot	logical. If 'TRUE' the 'acf' function will call 'plot.acf'.
na.action	function to be called by 'acf' to handle missing values.
demean	logical: Should the x be replaced by x - mean(x) before computing the sums of squares and lagged cross products to produce the 'acf'?
xlab,ylab,ylim,main,ci.col,ci.type,max.mfrow,ask,mar,oma,mgp,xpd,cex.main,verbose	see the help page of acf: help('acf', package = 'stats').
acfLag0	logical: TRUE to plot the traditional noninformation unit spike at lag 0. FALSE to omit that spike, consistent with the style in Tsay (2005).
...	further arguments passed to 'plot.acf'.

Details

These functions are provided to make it easy to plot an autocorrelation function without the noninformative unit spike at lag 0. This is done by calling plot(x, acfLag0 = FALSE, ...). Apart from the 'acfLag0' argument, the rest of the arguments are identical to those for 'acf' and 'plot.acf'.

Value

for acf, an object of class 'Acf', which inherits from class 'acf', as described with help('acf', package='stats').

for plot.Acf, NULL

Author(s)

Spencer Graves for the FinTS modification of 'plot.acf'.

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)

See Also

acf plot.acf Box.test AutocorTest

Examples

data(m.ibm2697)
Acf(m.ibm2697)
Acf(m.ibm2697, lag.max=100)
Acf(m.ibm2697, lag.max=100, main='Monthly IBM returns, 1926-1997')

FinTS documentation built on Jan. 27, 2024, 3:01 a.m.