deriv_2nd_ma1 {simts} | R Documentation |
Analytic second derivative for MA(1) process
Description
To ease a later calculation, we place the result into a matrix structure.
Usage
deriv_2nd_ma1(theta, sigma2, tau)
Arguments
theta |
A |
sigma2 |
A |
tau |
A |
Value
A matrix
with the first column containing the second partial derivative with respect to ,
the second column contains the partial derivative with respect to
and
,
and lastly we have the second partial derivative with respect to
.
Process Haar WV Second Derivative
Taking the second derivative with respect to yields:
Taking the second derivative with respect to yields:
Taking the first derivative with respect to and
yields:
Author(s)
James Joseph Balamuta (JJB)
[Package simts version 0.2.2 Index]