ARToPacf: Reparametrize AR Coefficients In Terms of PACF
In FitAR: Subset AR Model Fitting

Description Usage Arguments Details Value Warning Author(s) References See Also Examples

Transform AR parameter coefficients into partial autocorrelation function (PACF).

1	ARToPacf(phi)

phi

vector of AR parameter coefficients

For details see McLeod and Zhang (2006).

Vector of length(phi) containing the parameters in the transformed PACF domain

No check for invertibility is done for maximum computational efficiency since this function is used extensively in the numerical optimization of the AR loglikelihood function in FitAR. Use InvertibleQ to test for invertible AR coefficients.

A.I. McLeod and Y. Zhang

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

InvertibleQ, PacfToAR

somePACF<-c(0.5,0.6,0.7,0.8,-0.9,-0.8)
#PacfToAR() transforms PACF to AR parameter coefficients. 
someAR<-PacfToAR(somePACF)
test<-ARToPacf(someAR)
#This should be very small
sum(abs(test-somePACF))