s2dverification (version 2.5.0)

FitAutocor: Fits an AR1 Autocorrelation Function Using Dichotomy

Description

This function fits the theoretical autocorrelation function of an AR1 to the first guess of estimated autocorrelation function estacf containing any number of lags. The fitting relies on a dichotomial minimisation of the mean square differences between both autocorrelation functions. It returns the autocorrelation at lag 1 of the fitted AR1 process.

Usage

FitAutocor(estacf, window = c(-1, 1), prec = 0.01)

Arguments

estacf

First guess of the autocorrelation function

window

Interval in which the autocorrelation at lag 1 should be found.

prec

Precision to which the autocorrelation function at lag 1 is to be estimated.

Value

Examples

series <- GenSeries(1000, 0.35, 2, 1)
estacf <- acf(series[951:1000], plot = FALSE)$acf
alpha <-  FitAutocor(estacf, c(-1, 1), 0.01)
print(alpha)