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partacf()

Usage:
partacf(rho), rho a REAL matrix whose columns are autocorrelations
partacf(phikk, inverse:T), phikk a REAL matrix whose columns are
  partical autocorrelations



Keywords: time series
partacf(rho), where rho is a REAL vector, computes the partial
autocorrelations corresponding to the autocorrelation function in the
REAL vector rho.  Row k of rho should contain the lag k autocorrelation.
The Levinson-Durbin algorithm is used.

If rho is a matrix, partacf(rho) is a matrix of the same shape whose
j-th column contains partial autocorrelations corresponding to
autocorrelations in column j of rho.

If any column of rho is not a valid autocorrelation function, that is,
it does not define a positive definite Toeplitz matrix, a warning
message is printed.

partacf(phikk,inverse:T) is the inverse function to partacf.  Each
column of REAL vector or matrix phikk is considered to be the partial
autocorrelation function of a time series.  The corresponding column of
the result is the corresponding autocorrelation function.  All the
elements of phikk must be less than 1 in absolute value.

See also yulewalker().


Gary Oehlert 2003-01-15