Correlogram
The Correlogram trait provides functions for computing the Auto-Correlation Function (ACF) and the Partial Auto-Correlation Function (PACF).
Value parameters
- adjusted
-
whether to adjust to account for the number of elements in the sum Σ (or use dim-1)
- y
-
the time series data (response vector)
Attributes
- See also
-
VectorD.acov - Graph
-
- Supertypes
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class Objecttrait Matchableclass Any
- Known subtypes
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class AR
Members list
Value members
Concrete methods
Return the autocorrelation vector (ACF).
Return the autocorrelation vector (ACF).
Attributes
Apply the Durbin-Levinson Algorithm to iteratively compute the psi matrix. The last/p-th row of the matrix gives AR coefficients. Note, also known as Levinson-Durbin.
Apply the Durbin-Levinson Algorithm to iteratively compute the psi matrix. The last/p-th row of the matrix gives AR coefficients. Note, also known as Levinson-Durbin.
Value parameters
- g
-
the auto-covariance vector (gamma)
- ml
-
the maximum number of lags
Attributes
- See also
Make a Correlogram, i.e., compute stats, psi and pacf.
Make a Correlogram, i.e., compute stats, psi and pacf.
Value parameters
- y_
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the current (e.g., training) times-series to use (defaults to full y)
Attributes
Return the partial autocorrelation vector (PACF).
Return the partial autocorrelation vector (PACF).
Attributes
Plot both the Auto-Correlation Function (ACF) and the Partial Auto-Correlation Function (PACF) with confidence bound.
Plot both the Auto-Correlation Function (ACF) and the Partial Auto-Correlation Function (PACF) with confidence bound.
Attributes
Plot a function, e.g., Auto-Correlation Function (ACF), Partial Auto-Correlation Function (PACF) with confidence bound.
Plot a function, e.g., Auto-Correlation Function (ACF), Partial Auto-Correlation Function (PACF) with confidence bound.
Value parameters
- fVec
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the vector given function values
- name
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the name of the function
- show
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whether to show the fVec values