BartlettSE: Standard error estimates for autocorrelations based on...

In pautocorr: Testing Autocorrelation and Partial Autocorrelation Through Bootstrap and Surrogate Methods

Description

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

Usage

BartlettSE(data, L, lagmax)
Bartlett_Shumway(x, rho, L, T)

Arguments

data	a numeric vector of time series data.
x	lag
L	an upper limit for the summed terms. Default is 30.
lagmax	maximum lag at which to calculate autocorrelations.
T	time series length or number of time points.
rho	correlation.

Details

Compute standard error estimates for autocorrelations using Bartlett's formula. In the presence of missing values, estimates of autocorrelations are computed using available 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)

pautocorr documentation built on May 2, 2019, 6:09 p.m.