acf2AR

0th

Percentile

Compute an AR Process Exactly Fitting an ACF

Compute an AR process exactly fitting an autocorrelation function.

Keywords
ts
Usage
acf2AR(acf)
Arguments
acf

An autocorrelation or autocovariance sequence.

Value

A matrix, with one row for the computed AR(p) coefficients for 1 <= p <= length(acf).

See Also

ARMAacf, ar.yw which does this from an empirical ACF.

Aliases
  • acf2AR
Examples
library(stats) # NOT RUN { (Acf <- ARMAacf(c(0.6, 0.3, -0.2))) acf2AR(Acf) # }
Documentation reproduced from package stats, version 3.5.0, License: Part of R 3.5.0

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