acf.M
Calculate auto-covariance
Description
Calculate a matrix with partitions [M0|...|Mi|...|Ml] giving the auto-covariance.
Usage
acf.M(object, type ='covariance', sub.mean=T, Psi=NULL, lag=)
Required Arguments
- object
-
An object of class TSdata or TSmodel.
Optional Arguments
- type
-
With the defaults the blocks are auto-covariances. If type == 'correlation'
the result is scaled to give autocorrelations.
- sub.means
-
Only valid if object is of class TSdata. If F then means are not subtracted.
- Psi
-
A matrix of innovation covariance. Only valid if object is of class TSmodel.
Value
A matrix with partitions [M0|...|Mi|...|Ml] giving the covariance or correlation,
including the that between the output and input series
(as in the first block row of a Hankel matrix).
Examples
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