nl.acf: Autocorrelogram

In weakARMA: Tools for the Analysis of Weak ARMA Models

Autocorrelogram

Description

Plots autocorrelogram for non linear process.

Usage

nl.acf(
  ar = NULL,
  ma = NULL,
  y,
  main = NULL,
  nlag = NULL,
  conflevel = 0.05,
  z = 1.2,
  aff = "both"
)

Arguments

ar	Vector of AR coefficients. If NULL, we consider a MA process.
ma	Vector of MA coefficients. If NULL, we consider an AR process.
y	Univariate time series.
main	Character string representing the title for the plot.
nlag	Maximum lag at which to calculate the acf. If NULL, it is determinate by nlag = min(10log(n)) where n is the number of observation.
conflevel	Value of the confidence level, 5% by default.
z	Zoom on the graph.
aff	Specify the method between SN, M and both (see in Details).

Details

For the argument aff you have the choice between: SN, M and both. SN prints the self-normalized method (see Boubacar Maïnassara and Saussereau) in green, M prints the modified method introduced by Francq, Roy and Zakoïan (see also Boubacar Maïnassara) in red and both prints both of the methods.

Value

An autocorrelogram with every autocorrelations from 1 to a lag max, and with methods you choose to print.

Note

The only value available for the argument conflevel are 0.1, 0.05, 0.025, 0.01 or 0.005.

References

Boubacar Maïnassara, Y. 2011, Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms Journal of Statistical Planning and Inference, vol. 141, no. 8, pp. 2961-2975.

Boubacar Maïnassara, Y.and Saussereau, B. 2018, Diagnostic checking in multivariate ARMA models with dependent errors using normalized residual autocorrelations , Journal of the American Statistical Association, vol. 113, no. 524, pp. 1813-1827.

Francq, C., Roy, R. and Zakoïan, J.M. 2005, Diagnostic Checking in ARMA Models with Uncorrelated Errors, Journal of the American Statistical Association, vol. 100, no. 470, pp. 532-544.

Lobato, I.N. 2001, Testing that a dependant process is uncorrelated. J. Amer. Statist. Assos. 96, vol. 455, pp. 1066-1076.

Examples

est<-estimation(p = 1, q = 1, y = CAC40return.sq)
nl.acf(ar = est$ar, ma = est$ma, y = CAC40return.sq, main = "Autocorrelation of an ARMA(1,1) 
residuals of the CAC40 return square", nlag = 20)

weakARMA documentation built on April 5, 2022, 1:16 a.m.