You do need to specify a stationary ARMA process for it to have an acf:
your example is not valid since
Mod(polyroot(c(1, -w)))
[1] 0.6726057 1.6256859 1.6256859 1.7448484 1.7448484 18.4778223
Have you actually looked at the reference on the help page? It is there
to be help-ful.
Like quite a few such things in R, we could 'nanny' you and tell you that
this is not valid, but quite often invalid primary uses do have secondary
uses.
On Tue, 24 Apr 2007, Cyril wrote:
Dear all,
I need to compute the ACF (autocorrel) of an AR6 process, given the values
of its parameters (w1,w2,w3,w4,w5,w6).
First, I notice that there is an error as soon as the sum of the wi equals 1
:
Error in drop(.Call(La_dgesv, a, as.matrix(b), tol, PACKAGE = base)) :
system is computationally singular: reciprocal condition number =
1.00757e-18
Secondly, when the sum is greater than 1, some elements in the returned ACF
vector do not belong to interval [-1,1], which looks a bit weird for
autocorrelation (!)
E.g. :
w-c(0.9,0.7,0.1,0.1,0.19,0.01)
ARMAacf(w, lag.max = 6)
0 1 2 3 4 5 6
1.00 -1.624285 -1.735076 -3.121879 -4.412638 -6.318869 -9.560138
Does someone have a clue about it ?
It would be very helpful.
Thanks a lot
Regards
Cyril
--
Brian D. Ripley, [EMAIL PROTECTED]
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UKFax: +44 1865 272595
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