[R] Inverse autocorrelation function?

[Spencer Graves]

Dear Dr. Hartley:

	  RSiteSearch("Inverse autocorrelation function") produced 11 hits, 
none of which seemed to relate to your question.  If you have a 
reasonable algorithm for computing the IACF, it might not be difficult 
to program in R.  If you have compiled code, e.g., C++ or Fortran, it 
might not be difficult to link to it.

	  Googling for "inverse autocorrelation function led me to an article 
"On Autoregressive Model Identification" Ette Harrison Etuk 
(www.jos.nu/Articles/abstract.asp?article=42113) which compares IACF and 
PACF, concluding (a) neither is consistently more powerful than the 
other, but "On the whole the partial autocorrelation function exhibits 
better performance."

	  Conclusions:

	  (1) R does not seem to have an IACF function, unless the IACF is 
identical to something else that R has under a different name.

	  (2) "The R Project for Stastical Computing" is NOT a completed 
product but a project perpetually under renewal and extension.  As such, 
it has many contributed packages and is happy to accept more.

	  Spencer Graves

David Hartley wrote:

> In time series analysis it is helpful to plot the
> autocorrelation function (ACF), partial
> autocorrelation function (PACF), and the inverse
> autocorrelation function (IACF). The stats library
> provides the ability to compute and plot the ACF and
> PACF, but I cannot find an [R] procedure to compute
> and plot the IACF. Is there one? 
> 
> Best regards, 
> 
> David Hartley, PhD
> 
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-- 
Spencer Graves, PhD
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