Re: [R] Inverse autocorrelation fonction

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 defini

[R] Inverse autocorrelation fonction

I've been looking for an IACF() procedure in R for a long time (it's a very convenient function to check for overdifferencing time series), and eventually decided to write my own function. Here's what I came up with : 3 web-pages helped me estimate it : http://www.xycoon.com/inverse_autocorrelatio