acf2AR {stats} | R Documentation |
Compute an AR process exactly fitting an autocorrelation function.
acf2AR(acf)
acf |
An autocorrelation or autocovariance sequence. |
A matrix, with one row for the computed AR(p) coefficients for
1 <= p <= length(acf)
.
ARMAacf
, ar.yw
which does this from an
empirical ACF.
(Acf <- ARMAacf(c(0.6, 0.3, -0.2)))
acf2AR(Acf)