Bartlett's Formula for a General Class of Non Linear Processes

By Francq Christian and Zakoian Jean-Michel
Journal of Time Series Analysis (2009)

  • Christian Francq

    France

  • Jean-Michel Zakoian

    ENSAE

    France

Created

September 30, 2013

Last update

October 10, 2013

Software

R

Ranking

167

Visits

2204

Downloads

86

Description

The program, written in R, is a modification of the R function acf. It plots the sample autocorrelations, the standard significance bounds in blue dotted lines and generalized significant bounds in red lines. Sample autocorrelations quite outside the bounds are generally considered as evidence against the white noise hypothesis. The standard significant bounds are 95% bounds for the sample autocorrelations of a strong (i.e. iid) white noise. The red bounds are valid for more general white noises, which can exhibit conditional heteroscedasticity or more general forms of nonlinear dynamics (see Francq, C. and Zakoïan, J-M. Bartlett's formula for a general class of non linear processes Journal of Time Series Analysis, 30, 449-465, 2009).

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