Isotonic Autocorrelation Function
Autocorrelation function (forced to be decreasing by isotonic regression).
isoacf(x, lagmax = NULL, weave1 = FALSE)
x |
numeric vector. |
lagmax |
numeric. The maximal lag of the autocorrelations. |
weave1 |
logical. If set to |
isoacf computes the autocorrelation function (ACF)
of x enforcing the ACF to be decreasing by isotonic regression.
See also Robertson et al. (1988).
isoacf returns a numeric vector containing the ACF.
Lumley T & Heagerty P (1999). “Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression.” Journal of the Royal Statistical Society B, 61, 459–477.
Robertson T, Wright FT, Dykstra RL (1988). Order Restricted Statistical Inference. John Wiley and Sons, New York.
x <- filter(rnorm(100), 0.9, "recursive") isoacf(x) acf(x, plot = FALSE)$acf
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