corrfun

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Compute the autocorrelation or cross-correlation function.

Usage
corrfun(xvector {, n {, scale}}) ... autocorrelation of x
corrfun(xvector, yvector {, n {, scale}}) ... cross correlation of x and y
x, y
data vectors
n
the number of lags; 0 < n < ncol(x) (default=ncol(x)/2)
scale
specifies the scaling of the function:
scale=0 ... no scaling (default)
scale=1 ... "biased", each lag i is scaled by the length of x (1/ncol(x))
scale=2 ... "unbiased", each lag i is scaled by the number of correlated elements (1/(ncol(x)-i))
Result
The autocorrelation of the data vector x or the cross correlation function of the vectors x and y. The result is a scalar (if n=1) or a vector with n elements.
See also
corr

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