Dear Dr. Hartley:
RSiteSearch("Inverse autocorrelation function") produced 11 hits,
none of which seemed to relate to your question. If you have a
reasonable algorithm for computing the IACF, it might not be difficult
to program in R. If you have compiled code, e.g., C++ or Fortran, it
might not be difficult to link to it.
Googling for "inverse autocorrelation function led me to an article
"On Autoregressive Model Identification" Ette Harrison Etuk
(www.jos.nu/Articles/abstract.asp?article=42113) which compares IACF and
PACF, concluding (a) neither is consistently more powerful than the
other, but "On the whole the partial autocorrelation function exhibits
better performance."
Conclusions:
(1) R does not seem to have an IACF function, unless the IACF is
identical to something else that R has under a different name.
(2) "The R Project for Stastical Computing" is NOT a completed
product but a project perpetually under renewal and extension. As such,
it has many contributed packages and is happy to accept more.
Spencer Graves
David Hartley wrote:
> In time series analysis it is helpful to plot the
> autocorrelation function (ACF), partial
> autocorrelation function (PACF), and the inverse
> autocorrelation function (IACF). The stats library
> provides the ability to compute and plot the ACF and
> PACF, but I cannot find an [R] procedure to compute
> and plot the IACF. Is there one?
>
> Best regards,
>
> David Hartley, PhD
>
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