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rhatvar()

Usage:
rhatvar(rho [,lag:L]), REAL vector of correlations rho, integer L > 0



Keywords: time domain, autocorrelation
rhatvar(rho [,lag:L]), where rho is a REAL vector of autocorrelations
computes the vector of n*(var(rhohat(1)),var(rhohat(2)),...,
var(rhohat(lag)) using Bartlett's formula, where rhohat are sample
autocorrelations from a series with ACF rho.

When rho[1] == 1, rho[k] is assumed to contain the lag k-1 auto-
correlation; otherwise, rho[k] is assumed to contain the lag k
autocorrelation.  Thus if gamma is a REAL vector containing the
autocovariance function with gamma[1] = Var[X(t)], both
rhatvar(gamma/gamma[1]) and rhatvar(gamma[-1]/gamma[1]) return the same
result.

The default value of L is (maximum lag for rho)/2

See also rhatcovar().


Gary Oehlert 2003-01-15