PacfPlot(FitAR)R Documentation

Plot partial autocorrelations and limits

Description

The partial autocorrelations and their 95 under the assmption the model is contained in an AR(L), where L is a specified upper limit.

Usage

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

Arguments

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

Details

The Burg algorithm is used to estimate the PACF.

Value

None

Author(s)

A.I. McLeod

References

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

See Also

ar.burg pacf

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,SubsetModel="z",Best=1,method="BIC")   

[Package FitAR version 1.0 Index]