Compute an AR Process Exactly Fitting an ACF

Share:

Description

Compute an AR process exactly fitting an autocorrelation function.

Usage

1

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

1
2
(Acf <- ARMAacf(c(0.6, 0.3, -0.2)))
acf2AR(Acf)

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.