pacfToAR

<p>numeric vector of partial autocorrelations in (-1,1)</p>

pacf

<p>Convert partial autocorrelation coefficients to AR coefficients.</p>

Implementations of a Bayesian parametric (autoregressive), a Bayesian nonparametric (Whittle likelihood with Bernstein-Dirichlet prior) and a Bayesian semiparametric (autoregressive likelihood with Bernstein-Dirichlet correction) procedure are provided. The work is based on the corrected parametric likelihood by C. Kirch et al (2017) <arXiv:1701.04846>. It was supported by DFG grant KI 1443/3-1.

Alexander Meier

beyondWhittle

pacfToAR: Convert partial autocorrelation coefficients to AR coefficients.

Description

Usage

Arguments

Value