Computes the covariance determinant of p successive observations
from an AR(p) process with unit innovation variance.
Usage
DetAR(phi)
Arguments
phi
vector of AR coefficients
Value
Determinant
Details
The AR coefficients are transformed to PACF and then the
determinant is computed as a product of PACF terms as given
in McLeod and Zhang (2006, eqn. 4).
References
McLeod, A.I. and Zhang, Y. (2006).
Partial autocorrelation parameterization for subset autoregression.
Journal of Time Series Analysis, 27, 599-612.