ltzc {HKprocess}

Value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix.

Description

The function ltzc is used to calculate the value of quadratic forms for the inverse of a symmetric positive definite autocorrelation matrix, using the Levinson algorithm (Golub and Van Loan 1996, Algorithm 4.7.2).

Usage

ltzc(r, x)

Arguments

r

autocorelation vector

x

time series data

Value

Vector with values t(x) * solve(R) * x and the natural logarithm of the determinant of R. t(.) denotes the transpose of a vector and R is the autocorrelation matrix.

Author(s)

Hristos Tyralis

References

Golub GH, Van Loan CF (1996) Matrix Computations. Baltimore: John Hopkins University Press.

Examples

# Estimate the parameters for the Nile time series.

r <- acfHKp(H = 0.8, maxlag = length(Nile)-1)

examp <- ltzc(r, Nile)

# Comparison of the algorithm with typical approaches

examp[1] - as.numeric(t(Nile) %*% solve(toeplitz(r)) %*% Nile)

examp[2] - log(det(toeplitz(r)))