ARToPacf {arfima}

Converts AR/MA coefficients from operator space to the PACF space

Description

Converts AR/MA coefficients from operator space to the PACF box-space; usually for internal use

Usage

ARToPacf(phi)

Arguments

phi

The AR/MA coefficients in operator space

Value

The AR/MA coefficients in the PACF space

Author(s)

A. I. McLeod

References

Barndorff-Nielsen O. E., Schou G. (1973). "On the parametrization of autoregressive models by partial autocorrelations." Journal of Multivariate Analysis, 3, 408-419

McLeod A. I., Zhang Y (2006). "Partial autocorrelation parameterization for subset autore- gression." Journal of Time Series Analysis, 27(4), 599-612