Estimates AutoCorrelation At Lag 1 following Guemas et al, BAMS, 2013b
This function, relying on the FitAcfCoef() function, estimates the
autocorrelation at lag 1 of the xdata array following the method described
in Guemas V., Auger L., Doblas-Reyes F., JAMC, 2013. After applying a linear
detrending and/or a filtering of any frequency peak if requested, the sample
autocorrelation is estimated.
Then the theoretical autocorrelation of an AR1 is fitted to the sample
autocorrelation using the Cardano's formula (see FitAcfCoef()) to
obtain the autocorrelation at lag 1. This method assumes xdata is an AR1
process.
Alpha(xdata, detrend = FALSE, filter = FALSE)
xdata |
Timeseries from which the autocorrelation at lag 1 is requested. |
detrend |
TRUE applies a linear detrending to xdata prior to the estimation of the autocorrelation at lag 1. |
filter |
TRUE applies a filtering of any frequency peak prior to the estimation of the autocorrelation at lag 1. |
Autocorrelation at lag 1.
History:
0.1 - 2012-06 (V. Guemas, virginie.guemas@ic3.cat) - Original code
1.0 - 2013-09 (N. Manubens, nicolau.manubens@ic3.cat) - Formatting to CRAN
# Load sample data as in Load() example: example(Load) alpha <- Alpha(sampleData$mod[1, 1, , 1]) print(alpha)
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