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theo_pacf

Theoretical Partial Autocorrelation (PACF) of an ARMA process

Description

This function computes the theoretical Partial Autocorrelation (PACF) of an ARMA process.

Usage

theo_pacf(ar, ma = NULL, lagmax = 20)

Arguments

ar

A vector containing the AR coefficients.
ma

A vector containing the MA coefficients.
lagmax

An integer indicating the maximum lag up to which to compute the theoretical PACF.

Author(s)

Yuming Zhang

Examples

# Computes the theoretical ACF for an ARMA(1,0) (i.e. a first-order autoregressive model: AR(1))
theo_pacf(ar = -0.25, ma = NULL, lagmax = 7)
# Computes the theoretical ACF for an ARMA(2, 1)
theo_pacf(ar = c(.50, -0.25), ma = .20, lagmax = 10)
simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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