FitAR (version 1.94)

PacfToAR: Transform from PACF Parameters to AR Coefficients

Description

Transforms AR partical autocorrelation function (PACF) parameters to AR coefficients based on the Durbin-Levinson recursion.

Usage

PacfToAR(zeta)

Arguments

zeta

vector of AR PACF parameters

Value

Vector of AR coefficients

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)
someAR<-PacfToAR(somePACF)
test<-ARToPacf(someAR)
#this should be very small
sum(abs(test-somePACF))