Description Usage Arguments Details Value Author(s) References See Also Examples
Transforms AR partical autocorrelation function (PACF) parameters to AR coefficients based on the Durbin-Levinson recursion.
1 | PacfToAR(zeta)
|
zeta |
vector of AR PACF parameters |
See Mcleod and Zhang (2006)
Vector of 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.
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