acf computes (and by default plots) estimates of the autocovariance or autocorrelation function. Function
pacf is the function used for the partial autocorrelations. Function
ccf computes the cross-correlation or cross-covariance of two univariate series.
acf(x, lag.max = NULL, type = c("correlation", "covariance", "partial"), plot = TRUE, na.action = na.fail, demean = TRUE, ...) pacf(x, lag.max, plot, na.action, ...) ## S3 method for class 'default': pacf((x, lag.max = NULL, plot = TRUE, na.action = na.fail, ...) ccf(x, y, lag.max = NULL, type = c("correlation", "covariance"), plot = TRUE, na.action = na.fail, ...)) ## S3 method for class 'acf': x[(i, j)]
- x, y
- a univariate or multivariate (not
ccf) numeric time series object or a numeric vector or matrix, or an
- maximum lag at which to calculate the acf. Default is 10*log10(N/m) where N is the number of observations and m the number of series. Will be automatically limited to one less than the number of observations in the series.
- character string giving the type of acf to be computed. Allowed values are
- logical. If
TRUE(the default) the acf is plotted.
- function to be called to handle missing values.
na.passcan be used.
- logical. Should the covariances be about the sample means?
- further arguments to be passed to
- a set of lags (time differences) to retain.
- a set of series (names or numbers) to retain.
"covariance", the estimates are based on the sample covariance. (The lag 0 autocorrelation is fixed at 1 by convention.)
By default, no missing values are allowed. If the
na.action function passes through missing values (as
na.pass does), the covariances are computed from the complete cases. This means that the estimate computed may well not be a valid autocorrelation sequence, and may contain missing values. Missing values are not allowed when computing the PACF of a multivariate time series.
The partial correlation coefficient is estimated by fitting autoregressive models of successively higher orders up to
The generic function
plot has a method for objects of class
The lag is returned and plotted in units of time, and not numbers of observations.
An object of class
"acf", which is a list with the following elements:
The result is returned invisibly if
- A three dimensional array containing the lags at which the acf is estimated.
- An array with the same dimensions as
lagcontaining the estimated acf.
- The type of correlation (same as the
- The number of observations in the time series.
- The name of the series
- The series names for a multivariate time series.
Venables, W. N. and Ripley, B. D. (2002) Modern Applied Statistics with S. Fourth Edition. Springer-Verlag.
(This contains the exact definitions used.)
ARMAacf for the exact autocorrelations of a given ARMA process.
require(graphics) ## Examples from Venables & Ripley acf(lh) acf(lh, type = "covariance") pacf(lh) acf(ldeaths) acf(ldeaths, ci.type = "ma") acf(ts.union(mdeaths, fdeaths)) ccf(mdeaths, fdeaths, ylab = "cross-correlation") # (just the cross-correlations) presidents # contains missing values acf(presidents, na.action = na.pass) pacf(presidents, na.action = na.pass)
Documentation reproduced from R 2.15.3. License: GPL-2.