Vector Autocorrelation Function in R?

2 messages · Andreas Klein, Stefan Grosse

Wed, Jan 21, 2009 1:30 AM #

Hello.


Does anyone know, if there is a function in R to compute the vector autocorrelations?

Thank you in advance.


Regards,
Andreas.

2 days later

Fri, Jan 23, 2009 2:00 AM #

Andreas Klein schrieb:

?ccf on bivariate time series.

+ have a look at the vars package though I am not sure what exactly you
are trying.

hth
Stefan