Convert "acf" objects to "Lagged" objects

Convert "acf" objects to "Lagged" objects.

Usage

acf2Lagged(x)

Arguments

x

an object from "S3" class "acf", typically obtained from acf() and related functions.

Details

acf2Lagged() converts objects produced by acf() and friends to suitable "Lagged" objects.

Partial autocorrelations obtained from acf() do not contain value for lag zero. acf2Lagged() puts the number 1 at lag zero in the univariate case and a matrix of NA's in the multivariate case.

Value

an object from class "Lagged1d" (univariate case) or "Lagged3d" (multivariate case)

Author

Georgi N. Boshnakov

Examples

## using examples from help(acf)
lh_acf <- acf2Lagged(acf(lh))


lh_acf[0:5]
#> [1]  1.0000000  0.5755245  0.1818182 -0.1447552 -0.1748252 -0.1496503
acf(lh, plot = FALSE)$acf[1 + 0:5] # same
#> [1]  1.0000000  0.5755245  0.1818182 -0.1447552 -0.1748252 -0.1496503

acf(ts.union(mdeaths, fdeaths))$acf[15,,]
#>           [,1]      [,2]
#> [1,] 0.3732288 0.3613526
#> [2,] 0.3656260 0.3584216

deaths_mts <- ts.union(mdeaths, fdeaths)
deaths_acf <- acf2Lagged(acf(deaths_mts))

base_acf <- acf(deaths_mts)

## rho_14
deaths_acf[14]
#> , , 1
#> 
#>           [,1]      [,2]
#> [1,] 0.3732288 0.3613526
#> [2,] 0.3656260 0.3584216
#> 
base_acf$acf[1 + 14, , ] # same
#>           [,1]      [,2]
#> [1,] 0.3732288 0.3613526
#> [2,] 0.3656260 0.3584216
## this is different and maybe surprising to some:
base_acf[14]
#> 
#> Autocorrelations of series ‘deaths_mts’, by lag
#> 
#> , , mdeaths
#> 
#>  mdeaths fdeaths
#>  NA (NA) NA (NA)
#> 
#> , , fdeaths
#> 
#>  mdeaths fdeaths
#>  NA (NA) NA (NA)
#> 
## (see also examples in \link{Lagged})