VarianceRacfAR: Covariance Matrix Residual Autocorrelations for AR
Description
Computes the variance-covariance matrix for the residual autocorrelations
in an AR(p).
Usage
VarianceRacfAR(phi, MaxLag, n)
Arguments
phi
vector of AR coefficients
MaxLag
covariance matrix for residual autocorrelations at
lags 1 ,..., m, where m = MaxLag is computes
n
length of time series
Value
The m-by-m covariance matrix of residual autocorrelations at lags
1, ..., m, where m = MaxLag.
Details
The covariance matrix for the residual autocorrelations
is derived in McLeod (1978, eqn. 15) for the general ARMA case.
With this function one can obtain the
standard deviations of the residual autocorrelations which can
be used for diagnostic checking with RacfPlot.
References
McLeod, A.I. (1978),
On the distribution and applications of residual autocorrelations
in Box-Jenkins modelling,
Journal of the Royal Statistical Society B, 40, 296--302