uts_ldrec: Levinson-Durbin recursion
In WoVollmer/pkgTS: Time Series functions
Description
Usage
Arguments
References
Description
Levinson-Durbin recursion for determing all coefficients a(i,j),
mat <- ldrec(a)
1<=i<=j<=maxlag (=p)
input : a is (p+1,1)-vector of acf of a time series: acov(0),...,acov(p)
or 1,acor(1),..,acor(p)
output : (p,p+2)-matrix with coefficients in lower triangular,
pacf in colum p+2 and Q(p) in colum p+1
Usage
1
uts_ldrec(a)
Arguments
a
value
References
Source: Rainer Schlittgen (01.10.2014) tsutil.r ldrec()
WoVollmer/pkgTS documentation built on June 2, 2021, 4:02 a.m.
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Description Usage Arguments References
Description
Levinson-Durbin recursion for determing all coefficients a(i,j),
mat <- ldrec(a)
1<=i<=j<=maxlag (=p)
input : a is (p+1,1)-vector of acf of a time series: acov(0),...,acov(p)
or 1,acor(1),..,acor(p)
output : (p,p+2)-matrix with coefficients in lower triangular,
pacf in colum p+2 and Q(p) in colum p+1
Usage
1 | uts_ldrec(a)
|
Arguments
a |
value |
References
Source: Rainer Schlittgen (01.10.2014) tsutil.r ldrec()
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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