acfmat {tsapp}

acfmat computes a sequence of autocorrelation matrices for a multivariate time series

Description

acfmat computes a sequence of autocorrelation matrices for a multivariate time series

Usage

acfmat(y, lag.max)

Arguments

y

multivariate time series

lag.max

maximum number of lag

Value

out list with components:

M

array with autocovariance matrices

M1

array with indicators if autocovariances are significantly greater (+), lower (-) than the critical value or insignificant (.) at 95 percent level

Examples

data(ICECREAM)
out <- acfmat(ICECREAM,7)