acf2AR: Compute an AR Process Exactly Fitting an ACF

acf2ARR Documentation

Compute an AR Process Exactly Fitting an ACF

Description

Compute an AR process exactly fitting an autocorrelation function.

Usage

acf2AR(acf)

Arguments

acf

An autocorrelation or autocovariance sequence.

Value

A matrix, with one row for the computed AR(p) coefficients for 1 <= p <= length(acf).

See Also

ARMAacf, ar.yw which does this from an empirical ACF.

Examples

(Acf <- ARMAacf(c(0.6, 0.3, -0.2)))
acf2AR(Acf)