PacfToAR(FitAR)R Documentation

Transform from PACF parameters to AR

Description

Based on the Durbin-Levinson recursion.

Usage

PacfToAR(pi)

Arguments

pi AR coefficients

Details

see Mcleod and Zhang (2006)

Value

vector of AR coefficients

Author(s)

A.I. McLeod

References

McLeod and Zhang (2006)

See Also

InvertibleQ, PacfToAR

Examples

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))

[Package FitAR version 1.0 Index]