[R] Default lag.max in ACF

[Prof Brian Ripley]

The default is taken from S-PLUS, so the reference is the S-PLUS manual.
It is pretty similar to the recommendation of Brockwell & Davis.

On Mon, 27 Mar 2006, Spencer Graves wrote:

> 	  I don't know why the default lag.max is 10*log10(N/m) for m series. 
> The "acf" help page includes the following:
>
> Author(s):
>
>     Original: Paul Gilbert, Martyn Plummer. Extensive modifications
>     and univariate case of 'pacf' by B.D. Ripley.
>
> 	  I've copied these three contributors on this email.  With luck, one 
> of them will enlighten us both.
>
> 	  Best Wishes,
> 	  spencer graves
>
> Rafal Stankiewicz wrote:
>
>> Hi,
>> 
>> The default value for lag.max in ACF implementation is 10*log10(N)
>> 
>> There several publications recommending setting lag.max to:
>> -  N/4 (Box and Jenkins, 1970; Chatfield, 1975; Anderson, 1976; Pankratz, 
>> 1983; Davis, 1986; etc.)
>> -  sqrt(N)+10 (Cryer, 1986)
>> -  20<=N<=40 (Brockwell and Davis)
>> 
>> Why R uses 10*log10(N) as a default?
>> 
>> Please, give me a  reference to a book or article where the recommendation 
>> for using lag.max=10*log10(N) is proposed and explained.
>> 
>> Thanks
>> Rafal

-- 
Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
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