p value and autocorr

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

Answer 1

[Priysha LNU]

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.

For more information, refer this documentation page.

DISCLAIMER: These are my own views and in no way depict those of MathWorks.

[Jean Habimana]

Thanks, that is helpful