FitAR (version 1.94)

ARToPacf: Reparametrize AR Coefficients In Terms of PACF

Description

Transform AR parameter coefficients into partial autocorrelation function (PACF).

Usage

ARToPacf(phi)

Arguments

phi

vector of AR parameter coefficients

Value

Vector of length(phi) containing the parameters in the transformed PACF domain

Warning

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.

Details

For details see McLeod and Zhang (2006).

References

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

See Also

InvertibleQ, PacfToAR

Examples

somePACF<-c(0.5,0.6,0.7,0.8,-0.9,-0.8)
#PacfToAR() transforms PACF to AR parameter coefficients. 
someAR<-PacfToAR(somePACF)
test<-ARToPacf(someAR)
#This should be very small
sum(abs(test-somePACF))