[R] Estimating Unbiased Standard Deviation with Autocorrelation
rmcgehee at walleyetrading.net
Thu Jun 15 20:03:56 CEST 2017
I have a vector of values with significant autocorrelation, and I want to calculate an unbiased standard deviation that adjusts for the autocorrelation. The formula linked below purports to provide what I want:
However, rather than just implementing this equation in my own function, I figured there is likely already an R function that does this, and perhaps does a better job of handling the subtleties of the adjustment when the ACF itself is estimated from the same data that is used to estimate the sample standard deviation (if there are any).
If such a function exists, can anyone point me to it?
Thanks in advance,
More information about the R-help