[R-SIG-Finance] Does R have a formal test for long vs short memory process? ---acf confidence intervals

[Spencer Graves]

      The confidence intervals seem to be computed in plot.acf, not in 
acf.  Do "getAnywhere(plot.acf)", then search for 'clim'.  That just 
identified the following for me: 

    clim0 <- if (with.ci)
        qnorm((1 + ci)/2)/sqrt(x$n.used)
    else c(0, 0)

...

                clim <- clim0 * sqrt(cumsum(c(1, 2 * x$acf[-1,
                  i, i]^2)))

...

            clim <- if (with.ci.ma && i == j)
                clim0 * sqrt(cumsum(c(1, 2 * x$acf[-1, i, j]^2)))
            else clim0


      I'm not certain what all this means, but it looks like it should 
contain the answer to your question. 

      Hope this helps. 
      Spencer

elton wang wrote:
> Brian,
> For acf chart, how to see the value of confidence
> intervals? any reference on the calculation of this?
> are they just 1/sqrt(size)? 
>
> Below is my R screen, no information on confidence
> intervals.
>
>   
>> summary(acf(rnorm(1000)))
>>     
>        Length Class  Mode     
> acf    31     -none- numeric  
> type    1     -none- character
> n.used  1     -none- numeric  
> lag    31     -none- numeric  
> series  1     -none- character
> snames  0     -none- NULL     
>   
>
> --- "Brian G. Peterson" <brian at braverock.com> wrote:
>
>
>   
>> In addition to the ACF chart, the acf calculation
>> calculates confidence 
>> intervals for significance.  The summary() method on
>> the results of an 
>> acf will tell you what the values for these
>> confidence intervals are.
>>
>>     
>
>
>
>       ____________________________________________________________________________________
> Be a better friend, newshound, and
>
> _______________________________________________
> R-SIG-Finance at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-sig-finance
> -- Subscriber-posting only. 
> -- If you want to post, subscribe first.
>