| matXi {weakARMA} | R Documentation |
Estimation of Fisher information matrix I
Description
Uses a consistent estimator of the matrix I based on an autoregressive spectral estimator.
Usage
matXi(data, p = 0, q = 0)
Arguments
data |
Matrix of dimension (p+q,n). |
p |
Dimension of AR estimate coefficients. |
q |
Dimension of MA estimate coefficients. |
Value
Estimate Fisher information matrix I =
\sum_{h=-\infty}^{+\infty} cov(2e_t \nabla e_t, 2e_{t-h} \nabla e_{t-h}) where \nabla e_t
denotes the gradient of the residuals.
References
Berk, Kenneth N. 1974, Consistent autoregressive spectral estimates, The Annals of Statistics, vol. 2, pp. 489-502.
Boubacar Maïnassara, Y. and Francq, C. 2011, Estimating structural VARMA models with uncorrelated but non-independent error terms, Journal of Multivariate Analysis, vol. 102, no. 3, pp. 496-505.
Boubacar Mainassara, Y. and Carbon, M. and Francq, C. 2012, Computing and estimating information matrices of weak ARMA models Computational Statistics & Data Analysis, vol. 56, no. 2, pp. 345-361.