deriv_ma1 {simts} | R Documentation |
Analytic D matrix for MA(1) process
Description
Obtain the first derivative of the MA(1) process.
Usage
deriv_ma1(theta, sigma2, tau)
Arguments
theta |
A double corresponding to the theta coefficient of an MA(1) process.
|
sigma2 |
A double corresponding to the error term of an MA(1) process.
|
tau |
A vec containing the scales e.g. 2τ
|
Value
A matrix
with the first column containing the partial derivative with respect to θ
and the second column contains the partial derivative with respect to σ2
Process Haar WV First Derivative
Taking the derivative with respect to θ
yields:
∂θ∂νj2(θ,σ2)=τj2σ2(2(θ+1)τj−6)
Taking the derivative with respect to σ2
yields:
∂σ2∂νj2(θ,σ2)=τj2(θ+1)2τj−6θ
Author(s)
James Joseph Balamuta (JJB)
[Package
simts version 0.2.2
Index]