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.phi2acf(phi, lag.max = length(phi))

inla.ar.pacf2acf(pac, lag.max = length(pac))

Arguments

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)))