PacfPlot {FitAR}R Documentation

Plot Partial Autocorrelations and Limits

Description

The sample partial autocorrelations and their individual 95 percent confidence intervals are plotted under the assumption the model is contained in an AR(P), where P is a specified maximum order.

Usage

PacfPlot(z, lag.max = 15, ...)

Arguments

z time series
lag.max maximum lag, P
... optional parameters passed through to plot.

Details

The Burg algorithm is used to estimate the PACF.

Value

No value is returned. Graphical output is produced as side-effect.

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

ar.burg pacf

Examples

#For the log(lynx) series and taking lag.max=15, the PacfPlot and
# the minimum BIC subset selection produce the same result.
z<-log(lynx)
PacfPlot(z)
SelectModel(z,lag.max=15,ARModel="ARz",Best=1,Criterion="BIC")  

[Package FitAR version 1.74 Index]