[R] Default lag.max in ACF
spencer.graves at pdf.com
Tue Mar 28 06:48:02 CEST 2006
I don't know why the default lag.max is 10*log10(N/m) for m series.
The "acf" help page includes the following:
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.
Rafal Stankiewicz wrote:
> 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.
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
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