inla.ar.pacf2phi {INLA} | R Documentation |
These functions convert between the AR(p) coefficients phi
, the
partial autorcorrelation coefficients pacf
and the autocorrelation
function acf
. The phi
-parameterization is the same as used
for arima
-models in R
; see ?arima
and the
parameter-vector a
in Details
.
inla.ar.pacf2phi(pac) inla.ar.phi2pacf(phi) inla.ar.phi2acf(phi, lag.max = length(phi)) inla.ar.pacf2acf(pac, lag.max = length(pac))
pac |
The partial autorcorrelation coefficients |
phi |
The AR(p) parameters |
lag.max |
The maximum lag to compute the ACF for |
inla.ar.pacf2phi
returns phi
for given pacf
.
inla.ar.phi2pacf
returns pac
for given phi
.
inla.ar.phi2acf
returns acf
for given phi
.
inla.ar.pacf2acf
returns acf
for given pacf
.
Havard Rue hrue@r-inla.org
pac <- runif(5) phi <- inla.ar.pacf2phi(pac) pac2 <- inla.ar.phi2pacf(phi) print(paste("Error:", max(abs(pac2 - pac)))) print("Correlation matrix (from pac)") print(toeplitz(inla.ar.pacf2acf(pac))) print("Correlation matrix (from phi)") print(toeplitz(inla.ar.phi2acf(phi)))