forecast (version 8.9)

# Acf: (Partial) Autocorrelation and Cross-Correlation Function Estimation

## Description

The function `Acf` computes (and by default plots) an estimate of the autocorrelation function of a (possibly multivariate) time series. Function `Pacf` computes (and by default plots) an estimate of the partial autocorrelation function of a (possibly multivariate) time series. Function `Ccf` computes the cross-correlation or cross-covariance of two univariate series.

## Usage

```Acf(x, lag.max = NULL, type = c("correlation", "covariance",
"partial"), plot = TRUE, na.action = na.contiguous, demean = TRUE,
...)Pacf(x, lag.max = NULL, plot = TRUE, na.action = na.contiguous,
demean = TRUE, ...)Ccf(x, y, lag.max = NULL, type = c("correlation", "covariance"),
plot = TRUE, na.action = na.contiguous, ...)taperedacf(x, lag.max = NULL, type = c("correlation", "partial"),
plot = TRUE, calc.ci = TRUE, level = 95, nsim = 100, ...)taperedpacf(x, ...)```

## Arguments

x

a univariate or multivariate (not Ccf) numeric time series object or a numeric vector or matrix.

lag.max

maximum lag at which to calculate the acf. Default is \$10*log10(N/m)\$ where \$N\$ is the number of observations and \$m\$ the number of series. Will be automatically limited to one less than the number of observations in the series.

type

character string giving the type of acf to be computed. Allowed values are “`correlation`” (the default), “`covariance`” or “`partial`”.

plot

logical. If `TRUE` (the default) the resulting acf, pacf or ccf is plotted.

na.action

function to handle missing values. Default is `na.contiguous`. Useful alternatives are `na.pass` and `na.interp`.

demean

Should covariances be about the sample means?

...

Additional arguments passed to the plotting function.

y

a univariate numeric time series object or a numeric vector.

calc.ci

If `TRUE`, confidence intervals for the ACF/PACF estimates are calculated.

level

Percentage level used for the confidence intervals.

nsim

The number of bootstrap samples used in estimating the confidence intervals.

## Value

The `Acf`, `Pacf` and `Ccf` functions return objects of class "acf" as described in `acf` from the stats package. The `taperedacf` and `taperedpacf` functions return objects of class "mpacf".

## Details

The functions improve the `acf`, `pacf` and `ccf` functions. The main differences are that `Acf` does not plot a spike at lag 0 when `type=="correlation"` (which is redundant) and the horizontal axes show lags in time units rather than seasonal units.

The tapered versions implement the ACF and PACF estimates and plots described in Hyndman (2015), based on the banded and tapered estimates of autocovariance proposed by McMurry and Politis (2010).

## References

Hyndman, R.J. (2015). Discussion of ``High-dimensional autocovariance matrices and optimal linear prediction''. Electronic Journal of Statistics, 9, 792-796.

McMurry, T. L., & Politis, D. N. (2010). Banded and tapered estimates for autocovariance matrices and the linear process bootstrap. Journal of Time Series Analysis, 31(6), 471-482.

`acf`, `pacf`, `ccf`, `tsdisplay`

## Examples

Run this code
```# NOT RUN {
Acf(wineind)
Pacf(wineind)
# }
# NOT RUN {
taperedacf(wineind, nsim=50)
taperedpacf(wineind, nsim=50)
# }
# NOT RUN {
# }
```

Run the code above in your browser using DataCamp Workspace