ARMAacf(ar = numeric(0), ma = numeric(0), lag.max = r, pacf = FALSE)
max(p, q+1)
, where
p, q
are the numbers of AR and MA
terms respectively.
The methods used follow Brockwell & Davis (1991, section 3.3). Their equations (3.3.8) are solved for the autocovariances at lags 0, ..., max(p, q+1), and the remaining autocorrelations are given by a recursive filter.
B. D. Ripley
Brockwell, P. J. and Davis, R. A. (1991) Time Series: Theory and Methods, Second Edition. Springer.
ARMAacf(c(1.0, -0.25), 1.0, lag.max = 10) ## Example from Brockwell & Davis (1991, pp.92-4) ## answer n <- 1:10; 2^(-n) * (32/3 + 8 * n) /(32/3) ARMAacf(c(1.0, -0.25), 1.0, lag.max = 10, pacf = TRUE) ARMAacf(c(1.0, -0.25), lag.max = 10, pacf = TRUE)