acf2AR                 package:stats                 R Documentation

_C_o_m_p_u_t_e _a_n _A_R _P_r_o_c_e_s_s _E_x_a_c_t_l_y _F_i_t_t_i_n_g _a_n _A_C_F

_D_e_s_c_r_i_p_t_i_o_n:

     Compute an AR process exactly fitting an autocorrelation function.

_U_s_a_g_e:

     acf2AR(acf)

_A_r_g_u_m_e_n_t_s:

     acf: An autocorrelation or autocovariance sequence.

_V_a_l_u_e:

     A matrix, with one row for the computed AR(p) coefficients for '1
     <= p <= length(acf)'.

_S_e_e _A_l_s_o:

     'ARMAacf', 'ar.yw' which does this from an empirical ACF.

_E_x_a_m_p_l_e_s:

     (Acf <- ARMAacf(c(0.6, 0.3, -0.2)))
     acf2AR(Acf)

