FitAR: PacfToAR – R documentation

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PacfToAR

Transform from PACF Parameters to AR Coefficients

Transforms AR partical autocorrelation function (PACF) parameters to AR coefficients based on the Durbin-Levinson recursion.

PacfToAR(zeta)

zeta

vector of AR PACF parameters

See Mcleod and Zhang (2006)

Vector of 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)
someAR<-PacfToAR(somePACF)
test<-ARToPacf(someAR)
#this should be very small
sum(abs(test-somePACF))

Subset AR Model Fitting

v1.94

GPL (>= 2)

Authors

A.I. McLeod, Ying Zhang and Changjiang Xu

Initial release

2013-03-15