Computes the sample extended acf (ESACF) for the time series stored in z.
The matrix of ESACF with the AR order up to ar.max and the MA order
up to ma.max is stored in the matrix EACFM.
Usage
eacf(z, ar.max = 7, ma.max = 13)
Arguments
z
the time series data
ar.max
maximum AR order; default=7
ma.max
maximum MA order; default=13
Value
A list containing the following two components:
eacfa matrix of sample extended ACF
symbolcorresponding matrix of symbols indicating the significance of
the ESACF
Side effect of the eacf function:
The function prints a coded ESACF table with
significant values denoted by * and nosignificant values by 0.
References
Tsay, R. and Tiao, G. (1984). "Consistent Estimates of Autoregressive Parameters and
Extended Sample Autocorrelation Function for Stationary and Nonstationary
ARMA Models." Journal of the American Statistical Association, 79 (385), pp.
84-96.