On Wed, 4 Feb 2009, Riccardo (Jack) Lucchetti wrote:
On Tue, 3 Feb 2009, Allin Cottrell wrote:
> It's now implemented in CVS, up to a point. Note that the old CVS
> functions acf() and xcf() are gone. We now have one function,
> corrgm(). This has the semantics Jack describes. Absent the
> third argument, ACF and PACF are combined, in adjacent pairs of
> columns in the output matrix. (There's just one pair of columns
> in the output if arg1 is a series or column vector, but k >= 1
> pairs if arg1 is a general matrix or list.)
Two possible (mututally exclusive) refinements: one is implied by the
attached patch: when arg1 is multiple, the 2*n columns of the output
vector are sorted so that the first n columns contain the ACFs and columns
from n+1 to 2*n contain the PACFs. This would make it easier (IMO) to
retrieve the results.
I'm OK with that -- any other reactions?
Alternatively (but this is more complex to code and arguably less
intuitive), we may exploit the 3rd argument like we do with mols() for
residuals: corrgm() would always return the ACFs in a p \times n matrix.
If the partial autocorrelations are wanted too, you use a pointer to a
Quite nice, but then I think we'd need two functions again. Too
confusing to have such an overloaded third argument for a single
> The "up to a point" bit is that when the third
argument is given
> (i.e. cross-correlogram is wanted), only the following two cases
> are implemented so far:
> * arg1 = series, arg3 = series
> * arg1 = column vector, arg3 = column vector
> Implementing the remaining cross-cases (general matrix or list for
> arg1; mixed data types between arg1 and arg3) would be nice...
This is now done in CVS.