[R] Default lag.max in ACF

Rafal Stankiewicz 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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