[R-SIG-Finance] acf confidence intervals in ARMA

[elton wang]

Thanks for Brian and Spencer's help!
I tried to understand the two formulas below by google
and books I have but have no success so far. Can
anyone give me a hint how to reach these results? 

Sorry for asking if this is too basic...

--- "Brian G. Peterson" <brian at braverock.com> wrote:

> 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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> >>
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