ACF {wv}

Auto-Covariance and Correlation Functions

Description

The ACF function computes the estimated autocovariance or autocorrelation for both univariate and multivariate cases.

Usage

ACF(x, lagmax = 0, cor = TRUE, demean = TRUE)

Arguments

x

A matrix with dimensions N \times S or N observations and S processes

lagmax

A integer indicating the max lag.

cor

A bool indicating whether the correlation (TRUE) or covariance (FALSE) should be computed.

demean

A bool indicating whether the data should be detrended (TRUE) or not (FALSE)

Details

lagmax default is 10*log10(N/m) where N is the number of observations and m is the number of series being compared. If lagmax supplied is greater than the number of observations, then one less than the total will be taken.

Value

An array of dimensions N \times S \times S.

Author(s)

Yunxiang Zhang

Examples

# Get Autocorrelation
m = ACF(datasets::AirPassengers)

# Get Autocovariance and do not remove trend from signal
m = ACF(datasets::AirPassengers, cor = FALSE, demean = FALSE)