acf

Syntax

acf(X, maxLag)

Arguments

X is a vector.

maxLag is a positive integer.

Details

Calculate the autocorrelation of X from lag=1 to lag=maxLag. Note that the means of the two time series used in the calculation is the mean of X instead of the means of the two time series.

Examples

n=10000
x=array(double, n, n, NULL)
x[0]=1
r=rand(0.05, n)-0.025
for(i in 0:(n-1)){
   x[i+1]=-0.8*x[i]+r[i]
}

acf = acf(x, 20)
plot(acf,chartType=BAR)