Hi, I wanted to understand exactly how acf and pacf works, so I tried to calculate ac and pac manually. For ac, I used the standard acf formula: acf(k) = sum(X(t)-Xbar)(X(t-k)-Xbar))/sum(X(t)-Xbar)^2. But for pac, I could not figure out how to calculate it by hand. I understand that in both R and EVIEWS, it is done using the Durbin-Levinson algorithm by the computer. However, I don't understand exactly how the algorithm works just by looking at the algorithm. Does anyone know if there is a short cut to calculate pac by hand (or in a spreadsheet), or is it too complex of a procedure that a computer is absolutely necessary? It seems that there should be a natural relationship between ac and pac so that once ac is calculated, pac can be easily calculated based on ac. Thanks, -- Tom [[alternative HTML version deleted]]
>>>>> "tom" == tom soyer <tom.soyer at gmail.com> >>>>> on Sat, 28 Apr 2007 08:15:39 -0500 writes:tom> I wanted to understand exactly how acf and pacf works, tom> so I tried to calculate ac and pac manually. For ac, I tom> used the standard acf formula: acf(k) tom> sum(X(t)-Xbar)(X(t-k)-Xbar))/sum(X(t)-Xbar)^2. But for tom> pac, I could not figure out how to calculate it by tom> hand. I understand that in both R and EVIEWS, it is tom> done using the Durbin-Levinson algorithm by the tom> computer. However, I don't understand exactly how the tom> algorithm works just by looking at the algorithm. Does tom> anyone know if there is a short cut to calculate pac by tom> hand (or in a spreadsheet), or is it too complex of a tom> procedure that a computer is absolutely necessary? It tom> seems that there should be a natural relationship tom> between ac and pac so that once ac is calculated, pac tom> can be easily calculated based on ac. "easily", yes, by the Durbin-Levinson algorithm ;-) (is this a homework problem?) Martin Maechler, ETH Zurich
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