Acf {FinTS} | R Documentation |
Plot the ACF without the traditional noninformation unit spike at lag 0.
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, ...)
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'.
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 |
as described with 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' |
The 'acf' function returns an object of class 'Acf', which inherits
from class 'acf', as described with help('acf', package='stats').
The 'plot.Acf' function returns NULL.
Spencer Graves for the FinTS modification of 'plot.acf'.
Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)
acf
plot.acf
Box.test
AutocorTest
data(m.ibm2697) Acf(m.ibm2697) Acf(m.ibm2697, lag.max=100) Acf(m.ibm2697, lag.max=100, main='Monthly IBM returns, 1926-1997')