FitAR: PacfPlot – R documentation

Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

PacfPlot

Plot Partial Autocorrelations and Limits

Description

The sample partial autocorrelations and their individual 95 percent confidence intervals are plotted under the assumption the model is contained in an AR(P), where P is a specified maximum order.

Usage

PacfPlot(z, lag.max = 15, ...)

Arguments

`z`	time series
`lag.max`	maximum lag, P
`...`	optional parameters passed through to plot.

Details

The Burg algorithm is used to estimate the PACF.

Value

No value is returned. Graphical output is produced as side-effect.

Author(s)

A.I. McLeod and Y. Zhang

References

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

Examples

#For the log(lynx) series and taking lag.max=15, the PacfPlot and
# the minimum BIC subset selection produce the same result.
z<-log(lynx)
PacfPlot(z)
SelectModel(z,lag.max=15,ARModel="ARz",Best=1,Criterion="BIC")

FitAR

Subset AR Model Fitting

v1.94

GPL (>= 2)

Authors

A.I. McLeod, Ying Zhang and Changjiang Xu

Initial release

2013-03-15