[R] pacf

[Christian Kleiber]

Dear list,

according to the documentation of acf{ts}

"the partial correlation coefficient is estimated by fitting
autoregressive models of successively higher orders up to lag.max. "

However, R seems to return the Yule-Walker estimates of the PACF by
default. You can check this using c(1:10) as the series: the YW
estimates are 0.7000000 and  -0.1527035 for lags 1 and 2 . If the PACF
really was estimated from running autoregressions, the first coefficient
should be 1 and one would expect an error message for higher-order
coefficients (due to singularity of the regression matrix). pacf() or
acf (..., type="partial", ...), however, return 0.7000000 and
-0.1527035.

Best regards,

Christian Kleiber

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