[R] Inverse autocorrelation fonction

Jean-Baptiste Lepetit jb.lepetit at wanadoo.fr
Tue May 17 16:00:10 CEST 2011


In fact, my previous post is not correct:

you have to replace : 
acfth <- ARMAacf(ar=numeric(0),ma=artest$ar) 
by :
acfth <- ARMAacf(ar=numeric(0),ma=-artest$ar) 

Then it coincides exactly the same correlations as SAS
The error comes from the equation estimated by the ar() function :

"For definiteness, note that the AR coefficients have the sign in
x[t] - m = a[1]*(x[t-1] - m) + … + a[p]*(x[t-p] - m) + e[t]"

hence, you have to add the "-" in front of the ma coefficients

JB Lepetit

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