Displaying 1 result from an estimated 1 matches for "acfth".
Did you mean:
acft
2011 May 16
1
Inverse autocorrelation fonction
...main
reasonably small, but large enough so that for high lags, the inverse
autocorrelationq approach zero. One can try 10,20,30,40... it's not
recommended to go over N/4
given a "ts" object ts.1 :
artest <- ar(ts.1,aic=F,order.max=30,method="yule-walker") #choice p=30
acfth <- ARMAacf(ar=numeric(0),ma=artest$ar) #compute theoretical acf for an
MA, taking the estimated AR coefficients
# Then we plot, using ggplot2 :
library(ggplot2)
base <- data.frame(IACF=as.vector(acfth),Lag=as.numeric(names(acfth)))
ci <- 0.95
climy <- qnorm((1 + ci)/2) / sqrt(artest$...