ldrec function

ldrec does Levinson-Durbin recursion for determing all coefficients a(i,j)

ldrec(a)

Arguments

• a: (p+1,1)-vector of acf of a time series: acov(0),...,acov(p) or 1,acor(1),..,acor(p)

Returns

mat (p,p+2)-matrix, coefficients in lower triangular, pacf in colum p+2 and Q(p) in colum p+1

Examples

data(HEARTBEAT)
a <- acf(HEARTBEAT,5,plot=FALSE)
mat <- ldrec(a$acf)