Estimate the autocorrelation function (ACF) for an autoregression
What if you need to estimate the autocorrelation function from your data? To do so, you'll need the acf() command, which estimates autocorrelation by exploring lags in your data. By default, this command generates a plot of the relationship between the current observation and lags extending backwards.
In this exercise, you'll use the acf() command to estimate the autocorrelation function for three new simulated AR series (x, y, and z). These objects have slope parameters 0.5, 0.9, and -0.75, respectively, and are shown in the adjoining figure.
Deze oefening maakt deel uit van de cursus
Time Series Analysis in R
Oefeninstructies
- Use three calls to
acf()to calculate the ACF forx,y, andz, respectively.
Praktische interactieve oefening
Probeer deze oefening eens door deze voorbeeldcode in te vullen.
# Calculate the ACF for x
acf(___)
# Calculate the ACF for y
# Calculate the ACF for z