vcov.arfima {arfima} R Documentation

## Extracts the Variance-Covariance Matrix

### Description

Extracts the variance-covariance matrices (one or two for each mode) from a fitted arfima object.

### Usage

## S3 method for class 'arfima'
vcov(object, type = c("b", "o", "e"), cor = FALSE,
digits = max(4, getOption("digits") - 3), tapprox = FALSE,
summ = FALSE, ...)

### Arguments

 object A fitted arfima object type Which type of covariance matrix to return: "o" is the observed matrix (from solving the Hessian), "e" is the expected matrix (from solving the information matrix), and "b" is both. cor Whether or not the correlation matrix should be returned instead. digits The number of digits to print. tapprox Whether or not to use an approximation to find the expected matrix. Highly recommended to be FALSE, as it takes much longer, and is an approximation. summ Whether the call is from the summary.arfima function. Should not be used except internally. ... Optional arguments, currently not used.

### Value

A list of lists (one for each mode) with components observed and/or expected.

### Author(s)

JQ (Justin) Veenstra

### References

Veenstra, J.Q. Persistence and Antipersistence: Theory and Software (PhD Thesis)

### Examples

set.seed(1234)
sim <- arfima.sim(1000, model = list(dfrac = 0.4, phi = .8, theta = -0.5))
fit1 <- arfima(sim, order = c(1, 0, 1), back=TRUE)
fit2 <- arfima(sim, order = c(1, 0, 1), lmodel = "g", back=TRUE)
fit3 <- arfima(sim, order = c(1, 0, 1), lmodel = "h", back=TRUE)
fit1
fit2
fit3
vcov(fit1)
vcov(fit2)
vcov(fit2)

[Package arfima version 1.7-0 Index]