theo_pacf: Theoretical Partial Autocorrelation (PACF) of an ARMA process
In simts: Time Series Analysis Tools

theo_pacf

R Documentation

Theoretical Partial Autocorrelation (PACF) of an ARMA process

Description

This function computes the theoretical Partial Autocorrelation (PACF) of an ARMA process.

Usage

theo_pacf(ar, ma = NULL, lagmax = 20)

Arguments

`ar`	A `vector` containing the AR coefficients.
`ma`	A `vector` containing the MA coefficients.
`lagmax`	An `integer` indicating the maximum lag up to which to compute the theoretical PACF.

Author(s)

Yuming Zhang

Examples

# Computes the theoretical ACF for an ARMA(1,0) (i.e. a first-order autoregressive model: AR(1))
theo_pacf(ar = -0.25, ma = NULL, lagmax = 7)
# Computes the theoretical ACF for an ARMA(2, 1)
theo_pacf(ar = c(.50, -0.25), ma = .20, lagmax = 10)

simts documentation built on Aug. 31, 2023, 5:07 p.m.