CODEWITHSUNDEEP
r
Kaja
Kaja

Reputation: 3057

Autocorrelation scatterplot for a special lag

I am using acf function to calculate Autocorrelation. I want to have a scatter plot for a special lag for example lag 2. Does it possible to do it with acf function.

Is there any package that help me to have a scatter plot for each lag?

Upvotes: 2

Views: 2926

Answers (1)

Prasanna Nandakumar
Prasanna Nandakumar

Reputation: 4335

lag.plot1=function(data1,max.lag=1,corr=TRUE,smooth=FALSE){ 
   name1=paste(deparse(substitute(data1)),"(t-",sep="")
   name2=paste(deparse(substitute(data1)),"(t)",sep="")
   data1=as.ts(data1)
   max.lag=as.integer(max.lag)
   prow=ceiling(sqrt(max.lag))
   pcol=ceiling(max.lag/prow)
   a=acf(data1,max.lag,plot=FALSE)$acf[-1]
  par(mfrow=c(prow,pcol), mar=c(2.5, 4, 2.5, 1), cex.main=1.1, font.main=1)
  for(h in 1:max.lag){                       
   plot(lag(data1,-h), data1, xy.labels=FALSE, main=paste(name1,h,")",sep=""), ylab=name2, xlab="") 
    if (smooth==TRUE) 
    lines(lowess(ts.intersect(lag(data1,-h),data1)[,1],
                 ts.intersect(lag(data1,-h),data1)[,2]), col="red")
    if (corr==TRUE)
    legend("topright", legend=round(a[h], digits=2), text.col ="blue", bg="white", x.intersp=0)
   }
}

lag.plot1(dat,12,smooth=TRUE)

enter image description here

The full call is lag.plot1(x,m,corr=TRUE,smooth=TRUE) and it will generate a grid of scatterplots of x(t-h) versusx(t) for h = 1,...,m, along with the autocorrelation values in blue and a lowess fit in red.If you don't want any correlations or lines, simply use R's lag.plot 

library(forecast)
lag.plot(LakeHuron,lags=3,do.lines=FALSE)

enter image description here

Upvotes: 5

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