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etsu
2011 May 16
1
Inverse autocorrelation fonction
...time (it's a very
convenient function to check for overdifferencing time series), and
eventually decided to write my own function. Here's what I came up with :
3 web-pages helped me estimate it :
http://www.xycoon.com/inverse_autocorrelations.htm
http://support.sas.com/documentation/cdl/en/etsug/60372/HTML/default/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 la...