R: Autocorrelation

autcor {timsac} | R Documentation

## 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)

[Package timsac version 1.3.5 Index]