acfmat function

acfmat computes a sequence of autocorrelation matrices for a multivariate time series

acfmat(y, lag.max)

Arguments

• y: multivariate time series
• lag.max: maximum number of lag

Returns

out list with components: - M: array with autocovariance matrices

• M1: array with indicators if autocovariances are significantly greater (+), lower (-) than the critical value or insignificant (.) at 95 percent level

Examples

data(ICECREAM)
out <- acfmat(ICECREAM,7)