acf2pacf

Compute partial autocorrelations from autocorrelations

Functions for the analysis of time series using copula models.
The package is based on methodology described in the following references.
McNeil, A.J. (2021) <doi:10.3390/risks9010014>,
Bladt, M., & McNeil, A.J. (2021) <doi:10.1016/j.ecosta.2021.07.004>,
Bladt, M., & McNeil, A.J. (2022) <doi:10.1515/demo-2022-0105>.

Alexander McNeil

tscopula

Time Series Copula Models

Martin Bladt

acf2pacf function

<dl><dt>rho</dt>
<dd>vector of autocorrelation values (excluding 1).</dd></dl>

Arguments

Compute partial autocorrelations from autocorrelations — acf2pacf

<dl>

<dt>rho</dt>
<dd>vector of autocorrelation values (excluding 1).</dd>

</dl>

acf2pacf: Compute partial autocorrelations from autocorrelations

Description

Usage

Value

Arguments

Examples