facf {ftsa} | R Documentation |
Functional autocorrelation function
Description
Compute functional autocorrelation function at various lags
Usage
facf(fun_data, lag_value_range = seq(0, 20, by = 1))
Arguments
fun_data |
A data matrix of dimension (n by p), where n denotes sample size; and p denotes dimensionality |
lag_value_range |
Lag value |
Details
The autocovariance at lag i
is estimated by the function \widehat{\gamma}_i(t,s)
, a functional analog of the autocorrelation is defined as
\widehat{\rho}_i = \frac{\|\widehat{\gamma}_i\|}{\int \widehat{\gamma}_0(t,t)dt}.
Value
A vector of functional autocorrelation function at various lags
Author(s)
Han Lin Shang
References
L. Horv\'ath, G. Rice and S. Whipple (2016) Adaptive bandwidth selection in the long run covariance estimator of functional time series, Computational Statistics and Data Analysis, 100, 676-693.
Examples
facf_value = facf(fun_data = t(ElNino_ERSST_region_1and2$y))
[Package ftsa version 6.4 Index]