Re: [R] Inverse autocorrelation function?

From: Spencer Graves <spencer.graves_at_pdf.com>
Date: Fri 07 Oct 2005 - 11:02:32 EST

Dear Dr. Hartley:

          RSiteSearch("Inverse autocorrelation function") produced 11 hits, none of which seemed to relate to your question. If you have a reasonable algorithm for computing the IACF, it might not be difficult to program in R. If you have compiled code, e.g., C++ or Fortran, it might not be difficult to link to it.

          Googling for "inverse autocorrelation function led me to an article "On Autoregressive Model Identification" Ette Harrison Etuk (www.jos.nu/Articles/abstract.asp?article=42113) which compares IACF and PACF, concluding (a) neither is consistently more powerful than the other, but "On the whole the partial autocorrelation function exhibits better performance."

          Conclusions:

          (1) R does not seem to have an IACF function, unless the IACF is identical to something else that R has under a different name.

          (2) "The R Project for Stastical Computing" is NOT a completed product but a project perpetually under renewal and extension. As such, it has many contributed packages and is happy to accept more.

          Spencer Graves

David Hartley wrote:

> In time series analysis it is helpful to plot the
> autocorrelation function (ACF), partial
> autocorrelation function (PACF), and the inverse
> autocorrelation function (IACF). The stats library
> provides the ability to compute and plot the ACF and
> PACF, but I cannot find an [R] procedure to compute
> and plot the IACF. Is there one?
>
> Best regards,
>
> David Hartley, PhD
>
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-- 
Spencer Graves, PhD
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Received on Fri Oct 07 11:06:24 2005

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