Computes the covariance determinant of p successive observations from an AR(p) process with unit innovation variance.
vector of AR coefficients
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).
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.
Loading required package: lattice Loading required package: leaps Loading required package: ltsa Loading required package: bestglm  1.073307
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.