PacfToAR(FitAR) | R Documentation |
Based on the Durbin-Levinson recursion.
PacfToAR(pi)
pi |
AR coefficients |
see Mcleod and Zhang (2006)
vector of AR coefficients
A.I. McLeod
McLeod and Zhang (2006)
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))