inla.ar {INLA} | R Documentation

## Convert between parameterizations for the AR(p) model

### Description

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`.

### Usage

       inla.ar.pacf2phi(pac)
       inla.ar.phi2pacf(phi)
       inla.ar.pacf2acf(pac, lag.max = length(pac))
       inla.ar.phi2acf(phi, lag.max = length(phi))

### Arguments

`pac` | The partial autorcorrelation coefficients
`phi` | The AR(p) parameters `phi`
`lag.max` | The maximum lag to compute the ACF for

### Value

`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`.

### Author(s)

Havard Rue hrue@r-inla.org

### Examples

     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)))

[Package INLA version 18.07.12 Index]