fftcor {timsac}R Documentation

Auto And/Or Cross Correlations via FFT

Description

Compute auto and/or cross covariances and correlations via FFT.

Usage

  fftcor(y, lag=NULL, isw=4, plot=TRUE, lag_axis=TRUE)

Arguments

y

data of channel X and Y (data of channel Y is given for isw = 2 or 4 only).

lag

maximum lag. Default is 2*sqrt(n), where n is the length of the time series y.

isw

numerical flag giving the type of computation.

1 : auto-correlation of X (one-channel)
2 : auto-correlations of X and Y (two-channel)
4 : auto- and cross- correlations of X and Y (two-channel)
plot

logical. If TRUE (default) cross-correlations are plotted.

lag_axis

logical. If TRUE (default) with plot=TRUE, x-axis is drawn.

Value

acov

auto-covariance.

ccov12

cross-covariance.

ccov21

cross-covariance.

acor

auto-correlation.

ccor12

cross-correlation.

ccor21

cross-correlation.

mean

mean.

References

H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.

Examples

  # Example 1
  x <- rnorm(200)
  y <- rnorm(200)
  xy <- array(c(x,y), dim=c(200,2))
  fftcor(xy, lag_axis=FALSE)

  # Example 2
  xorg <- rnorm(1003)
  x <- matrix(0,1000,2)
  x[,1] <- xorg[1:1000]
  x[,2] <- xorg[4:1003]+0.5*rnorm(1000)
  fftcor(x, lag=20)
[Package timsac version 1.3.5 Index]