tccfAR: Theoretical cross-covariances of auxilary AR process in...
In FitARMA: Fit ARMA or ARIMA Using Fast MLE Algorithm

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

The auxilary AR processes in the ARMA(p,q) model phi(B)z(t)=theta(B)a(t) are defined by phi(B)u(t)=-a(t) and theta(B)v(t)=a(t). The upper off-diagonal p-by-q block of the ARMA information matrix is obtained from the cross-covariances of u(t) and v(t). This function obtains these covariances.

1	tccfAR(phi, theta)

`phi`	AR coefficients in ARMA
`theta`	MA coefficients in ARMA

A set of linear equations which determine the covariances is solved. The algorithm is similar in spirit to that for the autocovariances (McLeod, 1975).

vector of cross-covariances

A.I. McLeod

McLeod, A.I. (1975), Derivation of the theoretical autocorrelation function of autoregressive moving-average time series, Applied Statistics 24, 255-256.

InformationMatrixARMA