sigmaquant.research.autocorr.acf#
- sigmaquant.research.autocorr.acf(values, lags=None)#
Compute sample autocorrelation function.
- Parameters:
values (ArrayLike) – Input time series.
lags (int | None) – Maximum lag. If None, uses floor(log(n)).
- Returns:
Autocorrelations from lag 0 to lag lags.
- Return type:
np.ndarray