acf_rs function

Calculate regime-switching auto-correlation

acf_rs(x, label, lag_max, demean = TRUE)

Arguments

• x: A univariate numeric time series.
• label: A factor of regime labels.
• lag_max: Maximum lag at which to calculate the acf.
• demean: Logical. Should the covariances be about the sample means?

Returns

Mean auto-correlations for each group in label.

Examples

set.seed(123)
x <- rnorm(100)
label <- sample(1:2, 100, replace = TRUE)
acf_rs(x, label = factor(label), lag_max = 3)