pacf2AR {beyondWhittle} | R Documentation |
C++ function for computing AR coefficients from PACF. See Section III in Barndorff-Nielsen and Schou (1973)
Description
C++ function for computing AR coefficients from PACF. See Section III in Barndorff-Nielsen and Schou (1973)
Usage
pacf2AR(pacf)
References
O. Barndorff-Nielsen and G. Schou (1973) On the Parametrization of Autoregressive Models by Partial Autocorrelations Journal of Multivariate Analysis (3),408-419 <doi:10.1016/0047-259X(73)90030-4>
[Package beyondWhittle version 1.3.0 Index]