R Graphical Manual

Last data update: 2014.03.03

R: Lag plot for time series data

lagPlot

R Documentation

Lag plot for time series data

The function lagPlot() plots a time series variable against its lagged values or against the lagged values of an explanatory variable.

lagPlot(y, x = NULL, lags = 0, corr = TRUE, smooth = TRUE)

`y`	time-series (univariate)
`x`	explanatory variable
`lags`	number of lag plots desired
`corr`	whether to include the coirrelation in the plot
`smooth`	whether to plot the smooting curve

The function uses the functions lag.plo1() and lag.plo2() desribed in Shumway and Stoffer (2011) page 56.

A plot is produded.

Mikis Stasinopoulos

Shumway R. H. and Stoffer D. S. (2011) Time Series Analysis and Its Applications, With R Examples. (third edition), Springer, New York, .

dax<-EuStockMarkets[,"DAX"]
ftse<-EuStockMarkets[,"FTSE"]
lagPlot(dax, lags=9)
lagPlot(dax, ftse, lags=8)