InformationMatrixAR: Information Matrix for AR(p)
In FitAR: Subset AR Model Fitting

Description Usage Arguments Details Value Author(s) References See Also Examples

The Fisher large-sample information matrix per observation for the p coefficients in an AR(p) is computed.

1	InformationMatrixAR(phi)

phi

vector of length p corresponding to the AR(p) coefficients

The Fisher information matrix is computed as the covariance matrix of an AR(p) process with coefficients given in the argument phi and with unit innovation variance. The TacvfAR function is used to compute the necessary autocovariances. FitAR uses InformationMatrixAR to obtain estimates of the standard errors for the estimated parameters in the case of the full AR(p) model.

a p-by-p Toeplitz matrix, p = length(phi)

A.I. McLeod and Y. Zhang

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

FitAR, InformationMatrixARp, TacvfAR, InformationMatrixARz