PacfToAR: Converts AR/MA coefficients from the PACF space to operator...
In arfima: Fractional ARIMA (and Other Long Memory) Time Series Modeling
PacfToAR R Documentation
Converts AR/MA coefficients from the PACF space to operator space
Description
Converts AR/MA coefficients from PACF box-space to operator space; usually
for internal use
Usage
PacfToAR(pi)
Arguments
pi
The AR/MA coefficients in PACF box-space
Value
The AR/MA coefficients in operator space.
Author(s)
A. I. McLeod
References
Barndorff-Nielsen O. E., Schou G. (1973). "On the
parametrization of autoregressive models by partial autocorrelations."
Journal of Multivariate Analysis, 3, 408-419
McLeod A. I. , Zhang Y (2006). "Partial autocorrelation parameterization
for subset autore- gression." Journal of Time Series Analysis, 27(4),
599-612
arfima documentation built on Aug. 19, 2022, 5:14 p.m.
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| PacfToAR | R Documentation |
Converts AR/MA coefficients from the PACF space to operator space
Description
Converts AR/MA coefficients from PACF box-space to operator space; usually for internal use
Usage
PacfToAR(pi)
Arguments
pi |
The AR/MA coefficients in PACF box-space |
Value
The AR/MA coefficients in operator space.
Author(s)
A. I. McLeod
References
Barndorff-Nielsen O. E., Schou G. (1973). "On the parametrization of autoregressive models by partial autocorrelations." Journal of Multivariate Analysis, 3, 408-419
McLeod A. I. , Zhang Y (2006). "Partial autocorrelation parameterization for subset autore- gression." Journal of Time Series Analysis, 27(4), 599-612
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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