pacf2ar

Compute autoregressive coefficients from partial 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

pacf2ar function

<dl><dt>alpha</dt>
<dd>vector of partial autocorrelation values.</dd></dl>

Arguments

Compute autoregressive coefficients from partial autocorrelations — pacf2ar

<dl>

<dt>alpha</dt>
<dd>vector of partial autocorrelation values.</dd>

</dl>

pacf2ar: Compute autoregressive coefficients from partial autocorrelations

Description

Usage

Value

Arguments

Examples