autocorr

autocorr(X, lag)

location is a vector.

lag is a positive integer.

Calculate the autocorrelation of X. 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.

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]
}

autocorr(x, 1)
// output
-0.808343

autocorr(x, 2)
// output
0.661018