pdSafeParOrder: Functions for some basic operations with seasons

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

Functions for some basic operations with seasons

Description

Functions for some basic operations with seasons.

Usage

pdSafeParOrder(p)

Arguments

p	autoregression order, a vector of integers.

Details

pdSafeParOrder(p) modifies the periodic AR order specified by vector p. The modified order is such that the correspondence between autocovariances and partial autocorrelations is one-to-one, see the references for details.

Value

a vector of integers

Author(s)

Georgi N. Boshnakov

References

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.

Examples

pdSafeParOrder(c(0,2))
pdSafeParOrder(c(2,3))

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