timsac (version 1.3.0)

autcor: 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)