FinTS (version 0.2-7)

Acf: Autocorrelation Function

Description

Plot the ACF without the traditional noninformation unit spike at lag 0.

Usage

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, 
          ...)

Arguments

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'

Value

• 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.

References

Ruey Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley)

See Also

acf plot.acf Box.test AutocorTest

Examples

data(m.ibm2697)
Acf(m.ibm2697)
Acf(m.ibm2697, lag.max=100)