ltzd | R Documentation |
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).
ltzd(r, x)
r |
autocorelation vector |
x |
time series data |
A numeric value t(x) * solve(R) * x. t(.) denotes the transpose of a vector and R is the autocorrelation matrix.
Hristos Tyralis
Golub GH, Van Loan CF (1996) Matrix Computations. Baltimore: John Hopkins University Press.
# 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)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.