[−][src]Module arima::acf
Functions
acf | Calculate the auto-correlation function of a time series of length n. |
ar | Calculate the auto-regressive coefficients of a time series of length n.
If you already calculated the auto-correlation coefficients (ACF), consider
using |
ar_dl_rho_cov | Calculate the auto-regressive coefficients of a time series of length n, given the auto-correlation coefficients rho and auto covariance at lag 0, cov0. This method uses the Durbin-Levinson algorithm to iteratively estimate the coefficients, and it also returns the standard error for the 1-step look-ahead prediction (i.e. the estimated variance). |
pacf | Calculate the partial auto-correlation coefficients of a time series of length n.
If you already calculated the auto-correlation coefficients (ACF), consider
using |
pacf_rho_cov0 | Calculate the partial auto-correlation coefficients of a time series of length n, given the auto-correlation coefficients rho. |
var | Estimate the variance of a time series of length n via Durbin-Levinson.
If you already calculated the AR parameters, auto-correlation coefficients (ACF), and
the auto-covariance for lag zero, consider using |
var_phi_rho_cov | Estimate the variance of a time series of length n, given the AR parameters, auto-correlation coefficients (ACF), and the auto-covariance for lag zero. |