BartlettSE: Standard error estimates based on Bartlett's formula

In autocorr: Testing Autocorrelation through bootstrap and surrogate methods

Description

BartlettSE is a wrapper of Bartlett_Shumway. This function returns standard error estimates of autocorrelations up to lagmax.

Usage

BartlettSE(data, L, lagmax)

Arguments

data	a numeric vector of time series data.
L	an upper limit for the summed terms. Default is 30.
lagmax	maximum lag at which to calculate autocorrelations.

Details

Compute standard error estimates using Bartlett's formula. In the presence of missing values, estimates of autocorrelations are computed from complete cases, which may not be valid.

Value

a vector of standard error estimates of autocorrelations up to lagmax.

Author(s)

Zijun Ke <[e-mail]> and Zhiyong Zhang <[e-mail]>

References

Bartlett, M. S. (1955). An introduction to stochastic processes. Cambridge: Cambridge University Press. (p.289)

Shumway, R. H., & Stoffer, D. S. (2006). Time series analysis and its applications with r examples (2nd ed.). New York: Springer. (p.519)

See Also

Bartlett_Shumway

autocorr documentation built on May 2, 2019, 6:12 p.m.