fftcor {timsac}R Documentation

Auto And/Or Cross Correlations via FFT

Description

Compute auto and/or cross covariances and correlations via FFT.

Usage

  fftcor(y, lag=NULL, isw=4, plot=TRUE, lag_axis=TRUE)

Arguments

y data of channel X and Y (data of channel Y is given for isw=2 or 4 only).
lag maximum lag. Default is 2*sqrt(n), where n is the length of the time series y.
isw numerical flag giving the type of computation.
isw = 1 : autocorrelation of X (one-channel)
isw = 2 : autocorrelations of X and Y (two-channel)
isw = 4 : auto- and cross- correlations of X and Y (two-channel)
plot logical. If TRUE (default) crosscorrelations are plotted.
lag_axis logical. If TRUE (default) with plot=TRUE, x_axis is drawn.

Value

acov autocovariance.
ccov12 crosscovariance.
ccov21 crosscovariance.
acor autocorrelation.
ccor12 crosscorrelation.
ccor21 crosscorrelation.
mean mean.

References

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

Examples

  # Example 1
  x <- rnorm(200)
  y <- rnorm(200)
  xy <- array(c(x,y), dim=c(200,2))
  fftcor(xy, lag_axis=FALSE)

  # Example 2
  xorg <- rnorm(1003)
  x <- matrix(0,1000,2)
  x[,1] <- xorg[1:1000]
  x[,2] <- xorg[4:1003]+0.5*rnorm(1000)
  fftcor(x, lag=20)

[Package timsac version 1.2.1 Index]