Sample autocorrelation function (ch. 3)

The biased (divide-by-n) estimator the book's ACF plots use; ci is the +/- 1.96/sqrt(n) band drawn on them.

Usage

morie_autocorf(x, maxlag = 20L)

Arguments

x

the series

maxlag

largest lag

Value

list(acf, ci, maxlag, n, r1, nsignif)

Examples

set.seed(2)
morie_autocorf(as.numeric(arima.sim(list(ar = 0.6), 100)), maxlag = 10L)
#> $acf
#>  [1]  1.00000000  0.54069778  0.25114760 -0.02486698 -0.09346815 -0.08787419
#>  [7] -0.08688965 -0.22619027 -0.17683232 -0.12149257 -0.03710010
#> 
#> $ci
#> [1] 0.196
#> 
#> $maxlag
#> [1] 10
#> 
#> $n
#> [1] 100
#> 
#> $r1
#> [1] 0.5406978
#> 
#> $nsignif
#> [1] 3
#>