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+// Construction of square matrix required to compute PACF ajj, useful for the calculations in Sec. 6.4.5.
+// 6.11
+
+function ajj = pacf_mat(rvv0,rvv_rest,p,k)
+if argn(2) == 3,
+  k = 1;
+end
+for i = 1:p
+  for j = 1:p
+    index = (k+i-1)-j;
+    if index == 0, 
+      A(i,j) = rvv0;
+    elseif index < 0,
+      A(i,j) = rvv_rest(-index);
+    else 
+      A(i,j) = rvv_rest(index);
+    end
+  end
+  b(i) = -rvv_rest(k+i-1);
+end
+a = A\b;
+ajj = a(p);
+endfunction;
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