Converts AR/MA coefficients from the PACF space to operator space
Converts AR/MA coefficients from PACF box-space to operator space; usually for internal use
PacfToAR(pi)
pi |
The AR/MA coefficients in PACF box-space |
The AR/MA coefficients in operator space.
A. I. McLeod
Barndorff-Nielsen O. E., Schou G. (1973). "On the parametrization of autoregressive models by partial autocorrelations." Journal of Multivariate Analysis, 3, 408-419
McLeod A. I. , Zhang Y (2006). "Partial autocorrelation parameterization for subset autore- gression." Journal of Time Series Analysis, 27(4), 599-612
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