pacf2ar {tscopula}

Compute autoregressive coefficients from partial autocorrelations

Description

Compute autoregressive coefficients from partial autocorrelations

Usage

pacf2ar(alpha)

Arguments

alpha

vector of partial autocorrelation values.

Value

A vector of autoregressive coefficients with same length as alpha.

Examples

alpha <- ARMAacf(ar = -0.9, ma = 0.8, lag.max = 50, pacf = TRUE)
phi <- pacf2ar(alpha)