pacf_to_ar {beyondWhittle}

Convert partial autocorrelation coefficients to AR coefficients.

Description

Convert partial autocorrelation coefficients to AR coefficients.

Usage

pacf_to_ar(pacf)

Arguments

pacf

numeric vector of partial autocorrelations in (-1,1)

Details

See Section 2 in Kirch et al (2018) or Section III in Barndorff-Nielsen and Schou (1973) for further details

Value

numeric vector of autoregressive model coefficients

References

C. Kirch et al Supplemental material of Beyond Whittle: Nonparametric Correction of a Parametric Likelihood With a Focus on Bayesian Time Series Analysis Bayesian Analysis <doi:10.1214/18-BA1126SUPP>

O. Barndorff-Nielsen and G. Schou On the parametrization of autoregressive models by partial autocorrelations Journal of Multivariate Analysis (3),408-419 <doi:10.1016/0047-259X(73)90030-4>

See Also

acf2AR, ARMAacf