ex1f: An example PAR autocorrelation function

In GeoBosh/pcts: Periodically Correlated and Periodically Integrated Time Series

An example PAR autocorrelation function

Description

ex1 is the autocorrelation function used in the reference as an example when the solution of the periodic Yule-Walker system gives an invalid PAR model. This can happen only if Lambert-Lacroix's condition on the PAR order is not satisfied, see pdSafeParOrder.

Format

A function of two arguments

Source

See pp. 429–430 of the reference.

References

Lambert-Lacroix S (2005). “ Extension of autocovariance coefficients sequence for periodically correlated processes.” Journal of Time Series Analysis, 26(6), pp. 423-435.

See Also

pdSafeParOrder

Examples

data(ex1f)
## compute the first few autocorrelations
pc3 <- slMatrix(period = 2, maxlag = 5, f = ex1f, type = "tt")
## Fir a PAR(0,2) model
res0p2 <- alg1(pc3[],c(0,2))
## model is invalid since a partial autocorrelation is larger than one:
res0p2$be
## Find a modified order:
pdSafeParOrder(c(0,2)) # PAR(1,2)
## now the parcor's are fine:
res1p2 <- alg1(pc3[],c(1,2))
res1p2$be

GeoBosh/pcts documentation built on Dec. 8, 2023, 9:57 p.m.