[R] Values greater than 1 or lower than -1 in ARMAacf

Cyril cyril.papadacci at moodys.com
Tue Apr 24 16:26:39 CEST 2007

Dear all,

I need to compute the ACF (autocorrel) of an AR6 process, given the values
of its parameters (w1,w2,w3,w4,w5,w6).
First, I notice that there is an error as soon as the sum of the wi equals 1

"Error in drop(.Call("La_dgesv", a, as.matrix(b), tol, PACKAGE = "base")) : 
        system is computationally singular: reciprocal condition number =

Secondly, when the sum is greater than 1, some elements in the returned ACF
vector do not belong to interval [-1,1], which looks a bit weird for
autocorrelation (!)
E.g. :
> w<-c(0.9,0.7,0.1,0.1,0.19,0.01)
> ARMAacf(w, lag.max = 6)
        0         1         2         3         4         5         6 
 1.000000 -1.624285 -1.735076 -3.121879 -4.412638 -6.318869 -9.560138 

Does someone have a clue about it ?

It would be very helpful.

Thanks a lot


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