ACVStoPACS             package:ifultools             R Documentation

_C_o_m_p_u_t_e_s _p_a_r_t_i_a_l _a_u_t_o_c_o_r_r_e_l_a_t_i_o_n_s _f_r_o_m _a_u_t_o_c_o_v_a_r_i_a_n_c_e_s

_D_e_s_c_r_i_p_t_i_o_n:

     Given an autocovariance sequence (ACVS) for a stationary process,
     computes the corresponding partial autocorrelation sequence
     (PACS).

_U_s_a_g_e:

     ACVStoPACS(acvs)

_A_r_g_u_m_e_n_t_s:

    acvs: the ACVS for lags 0, 1, ..., p, where p must be a positive
          integer.

_D_e_t_a_i_l_s:

     The PACS (sometimes called the reflection coefficient sequence) is
     computed from the ACVS using the Levinson-Durbin recursions. Note
     that the autocorrelation sequence can be used as input rather than
     the ACVS since the PACS does not in fact depend on the variance of
     the process (i.e., the ACVS at lag 0).

_V_a_l_u_e:

     a vector with the PACS for lags 1, ..., p.

_R_e_f_e_r_e_n_c_e_s:

     S-Plus 5 Guide to Statistics,Section 24.2.

     D. Percival and A. Walden, _Spectral Analysis for Physical
     Applications_, Cambridge University Press, 1993, Section 9.4.

_S_e_e _A_l_s_o:

     'ar.yw'.

_E_x_a_m_p_l_e_s:

     ACVStoPACS(c(3,2,1))
     ACVStoPACS(c(1,0.9,0.81,0.9^3,0.9^4))

