[R] Default lag.max in ACF
rstankie at agh.edu.pl
Thu Mar 23 15:26:22 CET 2006
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.
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