autcor {timsac}R Documentation

Autocorrelation

Description

Estimate autocovariances and autocorrelations.

Usage

autcor(y, lag=NULL, plot=TRUE, lag_axis=TRUE)

Arguments

y a univariate time series.
lag maximum lag. Default is 2*sqrt(n), where n is the length of the time series y.
plot logical. If TRUE (default) autocorrelations are plotted.
lag_axis logical. If TRUE (default) with plot=TRUE, x_axis is drawn.

Value

acov autocovariances.
acor autocorrelations (normalized covariances).
mean mean of y.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

  # Example 1 for the normal distribution 
  y <- rnorm(200)
  autcor(y, lag_axis=FALSE)

  # Example 2 for the ARIMA model
  y <- arima.sim(list(order=c(2,0,0), ar=c(0.64,-0.8)), n=200)
  autcor(y, lag=20)

[Package timsac version 1.2.1 Index]