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

[Brian G. Peterson]

I had time to investigate this this morning, and came to the same 
conclusion as Spencer.  Sorry for the earlier confusion.

You can see all the code for acf,pacf, and plot.acf here:

https://svn.r-project.org/R/trunk/src/library/stats/R/acf.R

It would be nice if the summary() or print() method for class acf 
included the confidence interval, as I originally thought it did.

Regards,

   - Brian


Spencer Graves wrote:
>      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.
>>>
>>>     
>>
>>
>>
>>       
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