Extract confidence interval values from ACF correlogram

Question

In R, we can run an ACF correlogram of time series and the confidence interval bands will be plotted in light blue. But when I pull the structure of ACF object, I cannot find these values. Does anyone know how to extract the values of the confidence interval bands?

e.g.

List of 6
 $ acf   : num [1:27, 1, 1] 1 0.06453 -0.06354 0.00213 -0.01324 ...
 $ type  : chr "correlation"
 $ n.used: int 501
 $ lag   : num [1:27, 1, 1] 0 1 2 3 4 5 6 7 8 9 ...
 $ series: chr "tser[i:(i + 500)]"
 $ snames: NULL
 - attr(*, "class")= chr "acf"

Answer 1

I've had a look at the function and I can't see an easy way to extract the confidence interval. The region is calculated in the plot.acf function. To see this function, use

getS3method("plot", "acf")

In this function, there is a variable clim, this is the one you are after. The easiest way is to copy plot.acf to myplot.acf, but return the clim value.

Answer 2

I know this question is super old but if anyone does want the confidence interval values it's just the z-value of the confidence level divided by the sqrt of the number of observations used. In the plot.acf function this is calculated here:

clim0 <- if (with.ci) 
    qnorm((1 + ci)/2)/sqrt(x$n.used)

where with.ci is a logical value indicating if the user wants to plot the confidence intervals or not and ci is the desired confidence level (e.g. .95, .9, etc...)

EDIT: This is the confidence interval if you assume the lagged values are white noise, if this isn't the case there is a correction you can apply

clim <- clim0 * sqrt(cumsum(c(1, 2 * x$acf[-1, i, j]^2)))

You can read some more about that here