TSA (version 1.3)

lagplot: Lagged Regression Plot

Description

Computes and plots the nonparametric regression function of a time series against its various lags.

Usage

lagplot(x, lag.max = 6, deg = 1, nn = 0.7, method = c("locfit", "gam", "both")[1])

Arguments

x

time series

lag.max

maximum lag

deg

degree of local polynomial, needed only for the locfit method

nn

fraction of nearest data contained in a window, needed only for the locfit method

method

Two methods for nonparametric estimation: "locfit" is the default which uses the local polynomial approach via the locfit library to estimate the conditional mean function of \(E(X_t|X_{t-k}=x)\) for \(1\le k \le lag.max\); Another method is GAM, via the mgcv library.

Value

Side effects: The nonparametric lagged regression functions are plotted lag by lag, with the raw data superimposed on the plots.

References

"Time Series Analysis, with Applications in R" by J.D. Cryer and K.S. Chan

Examples

# NOT RUN {
set.seed(2534567)
par(mfrow=c(3,2))
y=arima.sim(n=61,model=list(ar=c(1.6,-0.94),ma=-0.64))
# lagplot(y)
# }