PacfToAR: Transform from PACF Parameters to AR Coefficients

Description Usage Arguments Details Value Author(s) References See Also Examples

Description

Transforms AR partical autocorrelation function (PACF) parameters to AR coefficients based on the Durbin-Levinson recursion.

Usage

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PacfToAR(zeta)

Arguments

zeta

vector of AR PACF parameters

Details

See Mcleod and Zhang (2006)

Value

Vector of AR coefficients

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

InvertibleQ, PacfToAR

Examples

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somePACF<-c(0.5,0.6,0.7,0.8,-0.9,-0.8)
someAR<-PacfToAR(somePACF)
test<-ARToPacf(someAR)
#this should be very small
sum(abs(test-somePACF))

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