In fact, my previous post is not correct: you have to replace : acfth <- ARMAacf(ar=numeric(0),ma=artest$ar) by : acfth <- ARMAacf(ar=numeric(0),ma=-artest$ar)
Then it coincides exactly the same correlations as SAS The error comes from the equation estimated by the ar() function : "For definiteness, note that the AR coefficients have the sign in x[t] - m = a[1]*(x[t-1] - m) + … + a[p]*(x[t-p] - m) + e[t]" hence, you have to add the "-" in front of the ma coefficients JB Lepetit -- View this message in context: http://r.789695.n4.nabble.com/Inverse-autocorrelation-fonction-tp3527467p3529286.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
