CetaARIMA {longmemo}

Covariance for fractional ARIMA

Description

Compute the covariance matrix of \hat{eta} for a fractional ARIMA process.

Usage

CetaARIMA(eta, p, q, m = 10000, delta = 1e-9)

Arguments

eta

parameter vector eta = c(H, phi, psi).

p, q

integer scalars giving the AR and MA order respectively.

m

integer specifying the length of the Riemann sum, with step size 2 * pi/m.

delta

step size for numerical derivative computation.

Details

builds on calling specARIMA(eta,p,q,m)

Value

the (square) matrix containg covariances up to ...

Author(s)

Jan Beran (principal) and Martin Maechler (fine tuning)

References

Beran(1984), listing on p.224–225.

Examples

 (C.7  <- CetaARIMA(0.7, m = 256, p = 0, q = 0))
 (C.5  <- CetaARIMA(eta = c(H = 0.5, phi=c(-.06, 0.42, -0.36), psi=0.776),
                    m = 256, p = 3, q = 1))