p value and autocorr
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Hi folks,
with the following Mtlab autocorr synthax, what is the default return value for bounds? at what percentage of p-value do we have this bound value?
[acf,lags,bounds] = autocorr(x,20)
thanks
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Priysha LNU
2020년 10월 6일
If you use
autocorr(y)
the function will assume the true process is a white noise, under which the autocorrelations rho(j) have the asymptotics: sqrt(T) * rho(j) converge in distribution to N(0,1).
Hence the approximate 95% bounds will be [-2/sqrt(T), 2/sqrt(T)].
If you put
autocorr(y,[],2)
it will assume the true process is a MA(2) process, and approximate the 95% bounds for autocorrelations beyond 2 lags by [-2*SE, 2*SE], where SE = sqrt( (1+rho(-2)+rho(-1)+rho(1)+rho(2)) / T), where rho(j) is the estimated autocorrelation at lag j.
DISCLAIMER: These are my own views and in no way depict those of MathWorks.
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