ARToPacf(FitAR) | R Documentation |
~~ A concise (1-5 lines) description of what the function does. ~~
ARToPacf(phi)
phi |
AR parameters |
For details see McLeod and Zhang (2006).
vector of length(phi) containing the parameters in the transformed PACF domain
No check for invertibility is done for maximum computational efficiency since this function is used extensively in the numerical optimization of the AR loglikelihood function in FitAR. Use InvertibleQ to test for invertible AR coefficients.
A.I. McLeod
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))