Jacobian: Jacobian AR-coefficients to Partial Autocorrelations

In FitAR: Subset AR Model Fitting

Description

This is more or less and internal routine used by InformationMatrixZeta but it is described in more details since it may be useful in other computations.

Usage

Jacobian(zeta)

Arguments

zeta	partial autocorrelation parameters

Details

The computation is described in detail in McLeod and Zhang (2006, Section 2.2)

Value

square matrix of order length(zeta)

Author(s)

A.I. McLeod

References

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

See Also

InformationMatrixARz

Examples

#In McLeod and Zhang (2006, p.603) a symbolic example is given
# for the AR(4).  
#
 Jacobian(rep(0.8,4))

FitAR documentation built on May 2, 2019, 3:22 a.m.