sl2acfbase {lagged} | R Documentation |
Convert between vector and season-lag representations
Description
Convert between vector and season-lag representations of autocovariances of multivariate and periodically correlated time series.
Usage
sl2acfbase(mat, maxlag, fullblocks = FALSE)
acfbase2sl(acf)
sl2vecacf(mat, maxlag, fullblocks = FALSE)
Arguments
acf |
an acf as returned by base R |
mat |
a matrix containing autocovariances in season-lag arrangement. |
maxlag |
maximal lag, a positive integer. |
fullblocks |
if TRUE, keep full blocks only. |
Details
These functions rearrange autocovariances and autocorrelations between
the native season-lag arrangement in package “pcts” and the vector
representations of the corresponding mutivariate models (vector of
seasons representation of periodic models). Variable is taken
be season
and vice versa in the opposite direction.
“acfbase” in the names of the functions refers to the representation
returned by base function acf
.
acfbase2sl
rearranges a multivariate acf in season-lag form.
sl2acfbase
rearranges a season-lag form into the multivariate
form used by base function acf
.
sl2vecacf
is similar to sl2acfbase
but the result is
such that the lag is in the third dimension and r[ , , k]
is
(not its transpose). See also the examples
below and in
acf2Lagged
.
Value
for acfbase2sl
, a matrix.
for sl2acfbase
and sl2vecacf
, an array.
Author(s)
Georgi N. Boshnakov
Examples
## use a character matrix to illustrate the positions of the elements
matsl <- rbind(paste0("Ra", 0:3), paste0("Rb", 0:3))
matsl
## convert to what I consider "standard" vec format R(k)=EX_tX_{t-k}'
sl2vecacf(matsl)
## convert to the format from acf() (R(k) is the transposed from mine).
sl2acfbase(matsl)
identical(sl2vecacf(matsl), aperm(sl2acfbase(matsl), c(3, 2, 1))) # TRUE
## by default the conversion is lossles;
## so this contains all values from the original and some NA's:
sl2acfbase(matsl)
## the orignal, matsl, can be restored:
acfbase2sl(sl2acfbase(matsl))
identical(acfbase2sl(sl2acfbase(matsl)), matsl) # TRUE
## this drops some values (if necessary) to keep complete block only
sl2acfbase(matsl, fullblocks = TRUE)