crit_val_acf

Notedocblock

crit_val_acf(n; alpha=0.05)

Compute the critical value of the asymptotic test based on the classical autocorrelation function (ACF); see test_acf. Under the null hypothesis (white noise), sqrt(n) * ρ̂ₕ is asymptotically standard normal for any fixed lag h (Bartlett’s formula), so the critical value does not depend on h.

• n::Int: length of the time series.
• alpha=0.05: significance level.