Calculate regime-switching auto-correlation
Usage
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?
Value
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)
#> $`Regime 1`
#> lag0 lag1 lag2 lag3
#> 1.00000000 -0.06719448 -0.28622386 0.05784944
#>
#> $`Regime 2`
#> lag0 lag1 lag2 lag3
#> 1.00000000 0.02239601 0.08759688 0.25413972
#>