ltzd: Value of quadratic forms for the inverse of a symmetric...

Description Usage Arguments Value Author(s) References Examples

View source: R/ltzd.R

Description

The function ltzd is used to calculate the value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix, using the Levinson algorithm (Golub and Van Loan 1996, Algorithm 4.7.2).

Usage

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ltzd(r,x)

Arguments

r

autocorelation vector

x

time series data

Value

A numeric value t(x) * solve(R) * x. t(.) denotes the transpose of a vector and R is the autocorrelation matrix.

Author(s)

Hristos Tyralis

References

Golub G.H., Van Loan C.F. (1996) Matrix Computations, Baltimore: John Hopkins University Press.

Examples

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# Estimate the parameters for the Nile time series.

r <- acfHKp(H = 0.8,maxlag = length(Nile)-1)

examp <- ltzd(r,Nile)

# Comparison of the algorithm with typical approaches

examp - as.numeric(t(Nile) %*% solve(toeplitz(r)) %*% Nile)

HKprocess documentation built on May 29, 2017, 9:20 p.m.

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