Expand description
Extended sample autocorrelation function (Tsay & Tiao 1984) and the triangle-vertex identification of ARMA(p, q).
The table cell (k, j) is the lag-(j+1) sample autocorrelation of
W_t = Z_t − Σ_l Φ̂^{(j+1)}_{l(k)} Z_{t−l}, where the iterated AR
estimates come from their recursion (2.7) over ordinary OLS AR fits (their
Lemma 5.1 shows the residual regressions are not needed). Under ARMA(p, q)
the cells with row ≥ p and col − (row − p) ≥ q converge to zero — a
triangle whose vertex (p, q) names the order. Cells are flagged with the
paper’s crude white-noise band band / sqrt(n − k − j) (their 2-standard-
deviation coding; they note it may understate the variance — it is not an
exact studentization).
Structs§
- Eacf
Config - Configuration of
eacf. - Eacf
Result - Output of
eacf.
Functions§
- eacf
- Compute the EACF table and read the order off the zero triangle.