R: Isotonic Autocorrelation Function

isoacf {sandwich}

R Documentation

Isotonic Autocorrelation Function

Description

Autocorrelation function (forced to be decreasing by isotonic regression).

Usage

isoacf(x, lagmax = NULL, weave1 = FALSE)

Arguments

`x`	numeric vector.
`lagmax`	numeric. The maximal lag of the autocorrelations.
`weave1`	logical. If set to `TRUE` `isoacf` uses the `acf.R` and `pava.blocks` function from the original `weave` package, otherwise R's own `acf` and `isoreg` functions are used.

Details

isoacf computes the autocorrelation function (ACF) of x enforcing the ACF to be decreasing by isotonic regression. See also Robertson et al. (1988).

Value

isoacf returns a numeric vector containing the ACF.

References

Lumley A & Heagerty P (1999), Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression. Journal of the Royal Statistical Society B, 61, 459–477.

Robertson T, Wright FT, Dykstra RL (1988), Order Restricted Statistical Inference. New York. Wiley.

Examples

x <- filter(rnorm(100), 0.9, "recursive")
isoacf(x)
acf(x, plot = FALSE)$acf

[Package sandwich version 2.2-9 Index]