fftcor {timsac} | R Documentation |
Compute auto and/or cross covariances and correlations via FFT.
fftcor(y, lag = NULL, isw = 4, plot = TRUE, lag_axis = TRUE)
y |
data of channel X and Y (data of channel Y is given for | ||||||
lag |
maximum lag. Default is 2*sqrt(n), where n
is the length of the time series | ||||||
isw |
numerical flag giving the type of computation.
| ||||||
plot |
logical. If | ||||||
lag_axis |
logical. If |
acov |
auto-covariance. |
ccov12 |
cross-covariance. |
ccov21 |
cross-covariance. |
acor |
auto-correlation. |
ccor12 |
cross-correlation. |
ccor21 |
cross-correlation. |
mean |
mean. |
H.Akaike and T.Nakagawa (1988) Statistical Analysis and Control of Dynamic Systems. Kluwer Academic publishers.
# Example 1 x <- rnorm(200) y <- rnorm(200) xy <- array(c(x,y), dim = c(200,2)) fftcor(xy, lag_axis = FALSE) # Example 2 xorg <- rnorm(1003) x <- matrix(0, nrow = 1000, ncol = 2) x[, 1] <- xorg[1:1000] x[, 2] <- xorg[4:1003] + 0.5*rnorm(1000) fftcor(x, lag = 20)