PacfPlot: Plot Partial Autocorrelations and Limits

In FitAR: Subset AR Model Fitting

Description

The sample partial autocorrelations and their individual 95 percent confidence intervals are plotted under the assumption the model is contained in an AR(P), where P is a specified maximum order.

Usage

PacfPlot(z, lag.max = 15, ...)

Arguments

z	time series
lag.max	maximum lag, P
...	optional parameters passed through to plot.

Details

The Burg algorithm is used to estimate the PACF.

Value

No value is returned. Graphical output is produced as side-effect.

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

ar.burg pacf

Examples

#For the log(lynx) series and taking lag.max=15, the PacfPlot and
# the minimum BIC subset selection produce the same result.
z<-log(lynx)
PacfPlot(z)
SelectModel(z,lag.max=15,ARModel="ARz",Best=1,Criterion="BIC")	

Example output

Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
[1]  1  2  7 10 11

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