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autocorrelation
2011 May 16
1
Inverse autocorrelation fonction
...ult/viewer.htm#etsug_arima_sect026.htm
--> How SAS does it
www.jos.nu/Articles/abstract.asp?article=42113 page 116 --> choice of
order.max "p" : not too large so that the estimators' std.errors remain
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...