Compute the autocorrelation of the residuals

Compute the autocorrelation of the residuals

Usage

autocorrelation(fitobj, lag = 1)

Arguments

fitobj

Output of the fit function.

lag

The lag of the autocorrelation to compute. Defaults to 1.

Value

Numeric denoting the autocorrelation of the residuals. If multiple dimensions exist in the residuals, then the autocorrelation will be computed for each dimension separately and a mean of them will be returned.

Examples

# Generate a dataset
data <- dataset(Y = rnorm(100), X = rnorm(100)) |>
  suppressWarnings()

# Estimate the exponential discounting model on these data
fitobj <- fit(
  exponential(),
  data,
  itermax = 50,
  trace = FALSE
)

# Compute the autocorrelation based on this fitobj
autocorrelation(fitobj)
#> [1] -0.1579376