information_arma {tsPI}

Large Sample Approximation of Information Matrix for ARMA process

Description

Fortran implementation of InformationMatrixARMA function of FitARMA package, except that the function uses the same ARMA model definition as arima, where both the AR and MA parts of the model are on the right side of the equation, i.e. MA coefficients differ in sign compared to InformationMatrixARMA.

Usage

information_arma(phi = NULL, theta = NULL)

Arguments

phi

Autoregressive coefficients.

theta

Moving average coefficients.

Value

Large sample approximation of information matrix for ARMA process.

References

1. Box, G. and Jenkins, G. (1970). Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.

2. McLeod, A. I. and Zhang, Y., (2007). Faster ARMA maximum likelihood estimation Computational Statistics & Data Analysis 52(4) URL https://dx.doi.org/10.1016/j.csda.2007.07.020