TSSS (version 1.2.3)

unicor: Autocovariance and Autocorrelation

Description

Compute autocovariance and autocorrelation function of the univariate time series.

Usage

unicor(y, lag = NULL, minmax = c(-1.0e+30, 1.0e+30), plot = 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.

minmax

bound for outliers in low side and high side.

plot

logical. If TRUE (default), autocorrelations are plotted.

…

further arguments to be passed to plot.unicor.

Value

An object of class "unicor", which is a list with the following elements:

acov

autocovariances.

acor

autocorrelations.

acov.err

error bound for autocovariances.

acor.err

error bound for autocorrelations.

mean

mean of y.

tsname

the name of the univariate time series y.

References

Kitagawa, G. (2010) Introduction to Time Series Modeling. Chapman & Hall/CRC.

Examples

# NOT RUN {
# Yaw rate, rolling, pitching and rudder angle of a ship
data(HAKUSAN)
Yawrate <- HAKUSAN[, 1]
unicor(Yawrate, lag = 50)

# seismic data
data(MYE1F)
unicor(MYE1F, lag = 50)
# }