PacfPlot(FitAR) | R Documentation |
The partial autocorrelations and their 95 under the assmption the model is contained in an AR(L), where L is a specified upper limit.
PacfPlot(z, lag.max = 15, ...)
z |
time series |
lag.max |
maximum lag |
... |
optional parameters passed through to plot. |
The Burg algorithm is used to estimate the PACF.
None
A.I. McLeod
McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.
#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,SubsetModel="z",Best=1,method="BIC")