PacfToAR {arfima}

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

Description

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

Usage

PacfToAR(pi)

Arguments

pi

The AR/MA coefficients in PACF box-space

Value

The AR/MA coefficients in operator 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