pacf2AR

<p>C++ function for computing AR coefficients from PACF.
See Section III in Barndorff-Nielsen and Schou (1973)</p>

internal

Implementations of Bayesian parametric, nonparametric and semiparametric procedures for univariate and multivariate time series. The package is based on the methods presented in C. Kirch et al (2018) <doi:10.1214/18-BA1126> and A. Meier (2018) <https://opendata.uni-halle.de//handle/1981185920/13470>. It was supported by DFG grant KI 1443/3-1.

Alexander Meier

beyondWhittle

Bayesian Spectral Inference for Stationary Time Series

Claudia Kirch

Matthew C. Edwards

Renate Meyer

pacf2AR function

C++ function for computing AR coefficients from PACF.
See Section III in Barndorff-Nielsen and Schou (1973) — pacf2AR

C++ function for computing AR coefficients from PACF.
See Section III in Barndorff-Nielsen and Schou (1973)

pacf2AR: C++ function for computing AR coefficients from PACF. See Section III in Barndorff-Nielsen and Schou (1973)

Description

Usage

Arguments

References