Description Usage Arguments Value Author(s) References Examples

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.

1 | ```
eacf(z, ar.max = 7, ma.max = 13)
``` |

`z` |
the time series data |

`ar.max` |
maximum AR order; default=7 |

`ma.max` |
maximum MA order; default=13 |

A list containing the following two components:

`eacf` |
a matrix of sample extended ACF |

`symbol` |
corresponding 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.

Kung-Sik Chan

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.

1 2 |

```
Loading required package: leaps
Loading required package: locfit
locfit 1.5-9.1 2013-03-22
Loading required package: mgcv
Loading required package: nlme
This is mgcv 1.8-20. For overview type 'help("mgcv-package")'.
Loading required package: tseries
Attaching package: 'TSA'
The following objects are masked from 'package:stats':
acf, arima
The following object is masked from 'package:utils':
tar
AR/MA
0 1 2 3 4 5 6 7 8 9 10 11 12 13
0 x x x x o o o o o o o o o o
1 x o o o o o o o o o o o o o
2 x o o o o o o o o o o o o o
3 x x o o o o o o o o o o o o
4 x o x o o o o o o o o o o o
5 x o o o o o o o o o o o o o
6 x o o o x o o o o o o o o o
7 x o o o x o o o o o o o o o
```

TSA documentation built on July 2, 2018, 1:04 a.m.

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