isoacf               package:sandwich               R Documentation

_I_s_o_t_o_n_i_c _A_u_t_o_c_o_r_r_e_l_a_t_i_o_n _F_u_n_c_t_i_o_n

_D_e_s_c_r_i_p_t_i_o_n:

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

_U_s_a_g_e:

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

_A_r_g_u_m_e_n_t_s:

       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.

_D_e_t_a_i_l_s:

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

_V_a_l_u_e:

     'isoacf' returns a numeric vector containing the ACF.

_R_e_f_e_r_e_n_c_e_s:

     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.

_S_e_e _A_l_s_o:

     'weave', 'weightsLumley'

_E_x_a_m_p_l_e_s:

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

