.acf

The acf function computes the estimated
autocovariance or autocorrelation for both univariate and multivariate cases.

internal

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

Time Series Analysis Tools

Stéphane Guerrier

James Balamuta

Roberto Molinari

Justin Lee

Lionel Voirol

Yuming Zhang

Wenchao Yang

Nathanael Claussen

Yunxiang Zhang

Christian Gunning

Romain Francois

Ross Ihaka

R Core Team 

.acf function

<dl><dt>x</dt>
<dd>A <code>matrix</code> with dimensions \(N \times S\) or N observations and S processes</dd>
<dt>lagmax</dt>
<dd>A <code>integer</code></dd>
<dt>cor</dt>
<dd>A <code>bool</code> indicating whether the correlation 
(<code>TRUE</code>) or covariance (<code>FALSE</code>) should be computed.</dd>
<dt>demean</dt>
<dd>A <code>bool</code> indicating whether the data should be detrended
(<code>TRUE</code>) or not (<code>FALSE</code>)</dd></dl>

Arguments

Auto-Covariance and Correlation Functions — .acf

<dl>

<dt>x</dt>
<dd>A <code>matrix</code> with dimensions \(N \times S\) or N observations and S processes</dd>


<dt>lagmax</dt>
<dd>A <code>integer</code></dd>


<dt>cor</dt>
<dd>A <code>bool</code> indicating whether the correlation 
(<code>TRUE</code>) or covariance (<code>FALSE</code>) should be computed.</dd>


<dt>demean</dt>
<dd>A <code>bool</code> indicating whether the data should be detrended
(<code>TRUE</code>) or not (<code>FALSE</code>)</dd>

</dl>

Auto-Covariance and Correlation Functions

.acf: Auto-Covariance and Correlation Functions

Description

Usage

Arguments