DetAR: Covariance Determinant of AR(p)

In FitAR: Subset AR Model Fitting

Description

Computes the covariance determinant of p successive observations from an AR(p) process with unit innovation variance.

Usage

DetAR(phi)

Arguments

phi	vector of AR coefficients

Details

The AR coefficients are transformed to PACF and then the determinant is computed as a product of PACF terms as given in McLeod and Zhang (2006, eqn. 4).

Value

Determinant

Author(s)

A.I. McLeod and Y. zhang

References

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

See Also

FastLoglikelihoodAR

Examples

DetAR(c(0.1,0.1,0.1))

Example output

Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
[1] 1.073307

FitAR documentation built on May 2, 2019, 3:22 a.m.