Significance level of ACF and PACF in R

r advanced-custom-fields significance
Erincon picture Erincon · May 2, 2015 · Viewed 8.1k times · Source

I want to obtain the the limits that determine the significance of autocorrelation coefficients and partial autocorrelation coefficients, but I don't know how to do it.

I obtained the Partial autocorrelogram using this function pacf(data). I want that R print me the values indicated in the figure.

enter image description here

Answer

Xiaojie Zhou picture Xiaojie Zhou · Dec 22, 2015

The limits that determine the significance of autocorrelation coefficients are: +/- of (exp(2*1.96/√(N-3)-1)/(exp(2*1.96/√(N-3)+1).

Here N is the length of the time series, and I used the 95% confidence level.

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