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]