omega {weakARMA} | R Documentation |
Computation of Fisher information matrice
Description
Computes matrices of Fisher information like I
, J
.
Usage
omega(ar = NULL, ma = NULL, y)
Arguments
ar |
Vector of AR coefficients. If |
ma |
Vector of MA coefficients. If |
y |
Univariate time series. |
Value
A list of matrix containing:
I
Matrix
I
computed in functionmatXi
.J
Matrix
J
computed as\frac{2}{n} H(e) H(e)^t
wheree
is the residuals vector.J.inv
Inverse of the matrix
J
.matOmega
Matrix variance-covariance in the weak case computed as
J^{-1}IJ^{-1}
.matvar.strong
Matrix variance-covariance in the strong case computed as
2\sigma^2J^{-1}
.standard.dev.Omega
Standard deviation of the matrix
matOmega
.standard.dev.strong
Standard deviation of the matrix
matvar.strong
.sig2
Innovation variance estimate.
Examples
y <- sim.ARMA(n = 1000, ar = c(0.95,-0.8), ma = -0.6)
est<-estimation(p = 2, q = 1, y = y)
omega(ar = est$ar, ma = est$ma, y = y)
estCAC<-estimation(p = 1, q = 1, y = CAC40return.sq, meanparam = TRUE)
omega(ar = estCAC$ar, ma = estCAC$ma, y = CAC40return.sq)
[Package weakARMA version 1.0.3 Index]