scalation.mathstat.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
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Supertypes
class Object
trait Matchable
class Any
Known subtypes
Members list
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_
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.
Value parameters
show
whether to show the ACF, PACF values
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
the vector given function values
name
the name of the function
show
whether to show the fVec values
Attributes
Return basic statistics on time-series y or y_.
Return basic statistics on time-series y or y_.
Attributes