Covariance Determinant of AR(p)
Computes the covariance determinant of p successive observations from an AR(p) process with unit innovation variance.
DetAR(phi)
phi |
vector of AR coefficients |
The AR coefficients are transformed to PACF and then the determinant is computed as a product of PACF terms as given in McLeod and Zhang (2006, eqn. 4).
Determinant
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.
DetAR(c(0.1,0.1,0.1))
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