R/InformationMatrixARMA.R

In FitARMA: Fit ARMA or ARIMA Using Fast MLE Algorithm

"InformationMatrixARMA" <-
function(phi = numeric(0), theta = numeric(0))
{
########information matrix of arma#####################
    if(!(InvertibleQ(phi) & InvertibleQ(theta))) {
        cat("Model is non-causal or non-invertible\n")
        return(NULL)
    }
    p <- length(phi)
    q <- length(theta)
    if (p==0 && q==0) return(numeric(0))
    unames <- character(0)
    vnames <- character(0)
    if(p > 0) {
        if(p > 1) {
            vvmatrix <- (tccfAR(phi, phi)[ - (1:(p - 1))])[ - (p + 
                1)]
        }
        else if(p == 1) {
            vvmatrix <- tccfAR(phi, phi)[ - (p + 1)]
        }
        vvmatrix <- toeplitz(vvmatrix)
        imatrix <- vvmatrix
        vnames <- paste("phi(", 1:p, ")", sep = "")
    }
    if(q > 0) {
        if(q > 1) {
            uumatrix <- (tccfAR(theta, theta)[ - (1:(q - 1))])[ - (
                q + 1)]
        }
        else if(q == 1) {
            uumatrix <- tccfAR(theta, theta)[ - (q + 1)]
        }
        uumatrix <- toeplitz(uumatrix)
        imatrix <- uumatrix
        unames <- paste("theta(", 1:q, ")", sep = "")
    }
    if(p > 0 && q > 0) {
        uvmatrix <- matrix(numeric(1), nrow = p, ncol = q)
        tuv <-  - tccfAR(phi, theta)
        for(i in 1:p) {
            for(j in 1:q) {
                uvmatrix[i, j] <- tuv[q + i - j]
            }
        }
        imatrix <- cbind(rbind(vvmatrix, t(uvmatrix)), rbind(uvmatrix, 
            uumatrix))
    }
    inames <- c(vnames, unames)
    dimnames(imatrix) <- list(inames, inames)
    return(imatrix)
}