simts: corr_analysis – R documentation

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simts

corr_analysis

Correlation Analysis Functions

Description

Correlation Analysis function computes and plots both empirical ACF and PACF of univariate time series.

Usage

corr_analysis(x, lag.max = NULL, type = "correlation", demean = TRUE,
  show.ci = TRUE, alpha = 0.05, plot = TRUE, ...)

Arguments

`x`	A `vector` or `"ts"` object (of length N > 1).
`lag.max`	A `integer` indicating the maximum lag up to which to compute the ACF and PACF functions.
`type`	A `character` string giving the type of acf to be computed. Allowed values are "correlation" (the default) and "covariance".
`demean`	A `bool` indicating whether the data should be detrended (`TRUE`) or not (`FALSE`). Defaults to `TRUE`.
`show.ci`	A `bool` indicating whether to compute and show the confidence region. Defaults to `TRUE`.
`alpha`	A `double` indicating the level of significance for the confidence interval. By default `alpha = 0.05` which gives a 1 - `alpha` = 0.95 confidence interval.
`plot`	A `bool` indicating whether a plot of the computed quantities should be produced. Defaults to `TRUE`.
`...`	Additional parameters.

Value

Two array objects (ACF and PACF) of dimension N x S x S.

Author(s)

Yunxiang Zhang

Examples

# Estimate both the ACF and PACF functions
corr_analysis(datasets::AirPassengers)

simts

Time Series Analysis Tools

v0.1.1

AGPL-3 | file LICENSE

Authors

Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]

Initial release

2019-07-21

corr_analysis

Description

Usage

Arguments

Value

Author(s)

Examples

simts

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