Bartlett_Shumway: Standard error estimates based on Bartlett's formula

In autocorr: Testing Autocorrelation through bootstrap and surrogate methods

Description

The function Bartlett_Shumway computes standard error estimates of autocorrelations based on Bartlett's formula. This function is not intended to use separately from the function BartlettSE.

Usage

Bartlett_Shumway(x, rho, L, T)

Arguments

x	lag of the target autocorrelation.
rho	vector of estimated autocorrelations. The first element should be the autocorrelation at lag 0, that is, 1.
L	upper limit for the summed terms to calculate standard error estimates of autocorrelations. Default is 30.
T	time series length or number of time points.

Value

This function returns a standard error estimate of autocorrelation at lag x.

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

BartlettSE

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