simts (version 0.2.2)

theo_pacf: Theoretical Partial Autocorrelation (PACF) of an ARMA process

Description

This function computes the theoretical Partial Autocorrelation (PACF) of an ARMA process.

Usage

theo_pacf(ar, ma = NULL, lagmax = 20)

Arguments

ar

A vector containing the AR coefficients.

ma

A vector containing the MA coefficients.

lagmax

An integer indicating the maximum lag up to which to compute the theoretical PACF.

Author

Yuming Zhang

Examples

# Computes the theoretical ACF for an ARMA(1,0) (i.e. a first-order autoregressive model: AR(1))
theo_pacf(ar = -0.25, ma = NULL, lagmax = 7)
# Computes the theoretical ACF for an ARMA(2, 1)
theo_pacf(ar = c(.50, -0.25), ma = .20, lagmax = 10)