Reparametrize AR Coefficients In Terms of PACF
Transform AR parameter coefficients into partial autocorrelation function (PACF).
ARToPacf(phi)
phi |
vector of AR parameter coefficients |
For details see McLeod and Zhang (2006).
Vector of length(phi) containing the parameters in the transformed PACF domain
No check for invertibility is done for maximum computational efficiency since this function is used extensively in the numerical optimization of the AR loglikelihood function in FitAR. Use InvertibleQ to test for invertible AR coefficients.
A.I. McLeod and Y. Zhang
McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.
somePACF<-c(0.5,0.6,0.7,0.8,-0.9,-0.8) #PacfToAR() transforms PACF to AR parameter coefficients. someAR<-PacfToAR(somePACF) test<-ARToPacf(someAR) #This should be very small sum(abs(test-somePACF))
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