acor {egcm} | R Documentation |
autocorrelation
Description
autocorrelation of a sequence
Usage
acor(X, k = 1, na.rm = FALSE)
Arguments
X |
a numeric vector or |
k |
the number of lags for which to compute the autocorrelation. Default: 1 |
na.rm |
a boolean, which if TRUE, indicates that NA values should be removed from the series prior to computing the autocorrelation. Default: FALSE |
Value
Returns the lag k
autocorrelation of X
, e.g., the correlation
of X[i]
with X[i-k]
.
Note
It's a bit surprising that this is not a part of the core R distribution, but I can't find it. Perhaps it was thought to be too trivial to include.
Author(s)
Matthew Clegg matthewcleggphd@gmail.com
See Also
Examples
acor(1:10) # a perfect correlation
acor(rnorm(100)) # should be close to zero
acor(cumsum(rnorm(100))) # slightly less than one
acor(rar1(1000, a1=0.8)) # slightly less than 0.8
acor(rar1(1000, a1=0.8), k=2) # about 0.64
acor(rar1(1000, a1=0.8), k=3) # about 0.51
[Package egcm version 1.0.13 Index]