Covariance Determinant of AR(p)

Description

Computes the covariance determinant of p successive observations from an AR(p) process with unit innovation variance.

Usage

DetAR(phi)

Arguments

Details

The AR coefficients are transformed to PACF and then the determinant is computed as a product of PACF terms as given in McLeod and Zhang (2006, eqn. 4).

Value

Determinant

Author(s)

A.I. McLeod and Y. zhang

References

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

See Also

FastLoglikelihoodAR

Examples

DetAR(c(0.1,0.1,0.1))

Results

R version 3.3.1 (2016-06-21) -- "Bug in Your Hair"
Copyright (C) 2016 The R Foundation for Statistical Computing
Platform: x86_64-pc-linux-gnu (64-bit)

R is free software and comes with ABSOLUTELY NO WARRANTY.
You are welcome to redistribute it under certain conditions.
Type 'license()' or 'licence()' for distribution details.

R is a collaborative project with many contributors.
Type 'contributors()' for more information and
'citation()' on how to cite R or R packages in publications.

Type 'demo()' for some demos, 'help()' for on-line help, or
'help.start()' for an HTML browser interface to help.
Type 'q()' to quit R.

> library(FitAR)
Loading required package: lattice
Loading required package: leaps
Loading required package: ltsa
Loading required package: bestglm
> png(filename="/home/ddbj/snapshot/RGM3/R_CC/result/FitAR/DetAR.Rd_%03d_medium.png", width=480, height=480)
> ### Name: DetAR
> ### Title: Covariance Determinant of AR(p)
> ### Aliases: DetAR
> ### Keywords: ts
> 
> ### ** Examples
> 
> DetAR(c(0.1,0.1,0.1))
[1] 1.073307
> 
> 
> 
> 
> 
> dev.off()
null device 
          1 
>