Autocovariance Functions via the Discrete Fourier Transform
Computes the autocovariance function (ACF) for a time series or the cross-covariance function (CCF) between two time series.
my.acf(x) my.ccf(a, b)
x,a,b |
time series |
The series is zero padded to twice its length before the discrete Fourier transform is applied. Only the values corresponding to nonnegative lags are provided (for the ACF).
The autocovariance function for all nonnegative lags or the cross-covariance function for all lags.
B. Whitcher
data(ibm)
ibm.returns <- diff(log(ibm))
plot(1:length(ibm.returns) - 1, my.acf(ibm.returns), type="h",
xlab="lag", ylab="ACVS", main="Autocovariance Sequence for IBM Returns")Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.