ACF(x, lagmax = 0, cor = TRUE, demean = TRUE)

Arguments

x	A matrix with dimensions $N \times S$ or N observations and S processes
lagmax	A integer indicating the max lag.
cor	A bool indicating whether the correlation (TRUE) or covariance (FALSE) should be computed.
demean	A bool indicating whether the data should be detrended (TRUE) or not (FALSE)

Value

An array of dimensions $N \times S \times S$.

Details

lagmax default is $10*log10(N/m)$ where $N$ is the number of observations and $m$ is the number of series being compared. If lagmax supplied is greater than the number of observations, then one less than the total will be taken.

Examples

# Get Autocorrelation
m = ACF(datasets::AirPassengers)

# Get Autocovariance and do not remove trend from signal
m = ACF(datasets::AirPassengers, cor = FALSE, demean = FALSE)