Autocorrelation function. Args: ts: time series k: lag Returns: acf value
(ts, k)
| 99 | |
| 100 | |
| 101 | def acf(ts, k): |
| 102 | """Autocorrelation function. |
| 103 | |
| 104 | Args: |
| 105 | ts: time series |
| 106 | k: lag |
| 107 | |
| 108 | Returns: |
| 109 | acf value |
| 110 | """ |
| 111 | m = np.mean(ts) |
| 112 | s1 = 0 |
| 113 | for i in range(k, len(ts)): |
| 114 | s1 = s1 + ((ts[i] - m) * (ts[i - k] - m)) |
| 115 | |
| 116 | s2 = 0 |
| 117 | for i in range(0, len(ts)): |
| 118 | s2 = s2 + ((ts[i] - m)**2) |
| 119 | |
| 120 | return float(s1 / s2) |