FitAR (version 1.94)

PacfPlot: Plot Partial Autocorrelations and Limits

Description

The sample partial autocorrelations and their individual 95 percent confidence intervals are plotted under the assumption the model is contained in an AR(P), where P is a specified maximum order.

Usage

PacfPlot(z, lag.max = 15, ...)

Arguments

z

time series

lag.max

maximum lag, P

...

optional parameters passed through to plot.

Value

No value is returned. Graphical output is produced as side-effect.

Details

The Burg algorithm is used to estimate the PACF.

References

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

See Also

ar.burg pacf

Examples

#For the log(lynx) series and taking lag.max=15, the PacfPlot and
# the minimum BIC subset selection produce the same result.
z<-log(lynx)
PacfPlot(z)
SelectModel(z,lag.max=15,ARModel="ARz",Best=1,Criterion="BIC")