R/JacobianK.R

In FitAR: Subset AR Model Fitting

`JacobianK` <-
function(zeta, k){
p<-length(zeta)
pmk<-p-k
ZeroMatrix<-matrix(rep(0, pmk*k),nrow=pmk,ncol=k)
IdMatrix<-matrix(rep(c(1,rep(0,k)),k)[1:(k*k)],nrow=k,ncol=k)
J<-matrix(rep(c(1,rep(0, pmk)),pmk)[1:(pmk^2)],nrow=pmk)
A<-matrix(rep(0,pmk*k),nrow=pmk,ncol=k)
phim1j<-c(rev(-PacfToAR(zeta[1:pmk])),1)
A[,1]<-phim1j[1:pmk]
for (j in 1:pmk) J[j,pmk+1-j] <- J[j,pmk+1-j]-zeta[pmk+1]
rbind(cbind(J,A),t(rbind(ZeroMatrix,IdMatrix)))
}