Partial autocorrelation by the Durbin-Levinson recursion (ch. 3)

Fixed recursion depth, no tolerance test, so both arms take identical steps.

Usage

morie_pacfts(x, maxlag = 20L)

Arguments

x

the series

maxlag

largest lag

Value

list(pacf, ci, maxlag, n, p1, nsignif)

Examples

set.seed(2)
morie_pacfts(as.numeric(arima.sim(list(ar = 0.6), 100)), maxlag = 10L)
#> $pacf
#>  [1]  1.00000000  0.54069778 -0.05823038 -0.19437784  0.01808190  0.01143728
#>  [7] -0.06846097 -0.24871826  0.07636768  0.01800856 -0.04719568
#> 
#> $ci
#> [1] 0.196
#> 
#> $maxlag
#> [1] 10
#> 
#> $n
#> [1] 100
#> 
#> $p1
#> [1] 0.5406978
#> 
#> $nsignif
#> [1] 2
#>