pcalg1util | R Documentation |
Give partial periodic autocorrelations or other partial prediction quantities for a pcAcvf object.
alg1util(x, s, at0 = 1)
x |
an object of a class inheriting from
|
s |
the required quantity, the name of one of the elements of
the list returned by |
at0 |
if not identical to "var", replace the elements of the result at lag zero with 1, see ‘Details’. |
This function is a wrapper for alg1()
. It calls alg1
, to
do the computations and returns the requested element as an object
from class slMatrix
. The model order is set to the maximal lag
avialable in x
,
If at0
is the character string "var", then the lag zero values
in the result are set to the lag zero autocovariances, otherwise they
are set to 1.
This is mainly relevant for the periodic partial autocorrelations
(s="be"
), since the setting at0="var"
ensures that they
are in one to one correspondence with the autocovariances.
the requested quantity as an object of type slMatrix
Georgi N. Boshnakov
Lambert-Lacroix S (2000). “On periodic autoregressive process estimation .” IEEE Transactions on Signal Processing, 48( 6 ), pp. 1800-1803.
Lambert-Lacroix S (2005). “ Extension of autocovariance coefficients sequence for periodically correlated processes.” Journal of Time Series Analysis, 26(6), pp. 423-435.
pdSafeParOrder
,
alg1
r1 <- rbind(c(1,0.81,0.729),c(1,0.90,0.900))
# example of Lambert-Lacroix
data(ex1f)
pc3 <- slMatrix(period=2,maxlag=5,f=ex1f,type="tt")
res0p2 <- alg1(pc3[],c(0,2))
res1p2 <- alg1(pc3[],c(1,2))
res3p3 <- alg1(pc3[],c(3,3))
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