autocorr

Syntax

autocorr(X, lag)

Arguments

location is a vector.

lag is a positive integer.

Details

Calculate the autocorrelation of X. Please 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]
$ }

$ autocorr(x, 1)
-0.808343

$ autocorr(x, 2)
0.661018