ACVStoPACS: Computes partial autocorrelations from autocovariances

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Description

Given an autocovariance sequence (ACVS) for a stationary process, computes the corresponding partial autocorrelation sequence (PACS).

Usage

ACVStoPACS(acvs)

Arguments

acvs	the ACVS for lags 0, 1, ..., p, where p must be a positive integer.

Details

The PACS (sometimes called the reflection coefficient sequence) is computed from the ACVS using the Levinson-Durbin recursions. Note that the autocorrelation sequence can be used as input rather than the ACVS since the PACS does not in fact depend on the variance of the process (i.e., the ACVS at lag 0).

Value

a vector with the PACS for lags 1, ..., p.

References

S-Plus 5 Guide to Statistics,Section 24.2.

D. Percival and A. Walden, Spectral Analysis for Physical Applications, Cambridge University Press, 1993, Section 9.4.

See Also

ar.yw.

Examples

ACVStoPACS(c(3,2,1))
ACVStoPACS(c(1,0.9,0.81,0.9^3,0.9^4))

ifultools documentation built on May 2, 2019, 4:48 p.m.