s2dverification: FitAutocor – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

FitAutocor

Fits an AR1 Autocorrelation Function Using Dichotomy

Description

This function fits the theoretical autocorrelation function of an AR1 to the first guess of the estimated autocorrelation function estacf containing any number of lags. The fitting relies on a dichotomial minimisation of the mean square differences between both autocorrelation functions. It returns the autocorrelation at lag 1 of the fitted AR1 process.

Usage

FitAutocor(estacf, window = c(-1, 1), prec = 0.01)

Arguments

`estacf`	First guess for the autocorrelation function.
`window`	Interval in which the autocorrelation at lag 1 should be found.
`prec`	Precision to which the autocorrelation function at lag 1 is to be estimated.

Value

Best estimate of the autocorrelation at lag 1.

Author(s)

History:
0.1 - 2012-02 (V. Guemas, virginie.guemas@ic3.cat) - Original code
1.0 - 2013-09 (N. Manubens, nicolau.manubens@ic3.cat) - Formatting to CRAN

Examples

series <- GenSeries(1000, 0.35, 2, 1)
estacf <- acf(series[951:1000], plot = FALSE)$acf
alpha <-  FitAutocor(estacf, c(-1, 1), 0.01)
print(alpha)

s2dverification

Set of Common Tools for Forecast Verification

v2.10.0

Apache License 2.0

Authors

BSC-CNS [aut, cph], Virginie Guemas [aut], Nicolau Manubens [aut], An-Chi Ho [ctb, cre], Nuria Perez-Zanon [ctb], Javier Garcia-Serrano [aut], Neven Fuckar [aut], Louis-Philippe Caron [aut], Omar Bellprat [aut], Luis Rodrigues [aut], Veronica Torralba [aut], Alasdair Hunter [aut], Chloe Prodhomme [aut], Martin Menegoz [aut], Domingo Manubens [ctb], Constantin Ardilouze [ctb], Lauriane Batte [ctb], Fabian Lienert [ctb], Julia Giner [ctb], Jean-Philippe Baudouin [ctb], Nube Gonzalez [ctb], Ludovic Auger [ctb], Nicola Cortesi [ctb], Eleftheria Exarchou [ctb], Ruben Cruz [ctb], Isabel Andreu-Burillo [ctb], Ramiro Saurral [ctb]

Initial release