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