Description Usage Arguments Details Value Author(s) References See Also Examples
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.
1 |
z |
time series |
lag.max |
maximum lag, P |
... |
optional parameters passed through to plot. |
The Burg algorithm is used to estimate the PACF.
No value is returned. Graphical output is produced as side-effect.
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.
1 2 3 4 5 | #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")
|
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
[1] 1 2 7 10 11
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.