Information matrix for ARTFIMA

Description

The information matrix for the lambda and d in ARTFIMA model. At present only the TFD and FD models are supported but it is planned to extend this to the full ARTFIMA model.

Usage

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ifisher(d = numeric(0), lambda = numeric(0), phi = numeric(0), 
  theta = numeric(0), sigma2 = 1, n = 1, obj = NULL, 
  alg = c("Fisher", "Whittle", "approx"))

Arguments

d

d parameter

lambda

lambda parameter

phi

AR coefficients

theta

MA coefficients, Box-Jenkins definition

sigma2

innovation variance

n

series length

obj

object of class artfima

alg

"Fisher", "Whittle" or "approx"

Details

This is the expected information matrix. The artfima() function returns the component varbeta that is the inverse of the observed information for a fitted model computed from the Hessian matrix.

Value

se

standard errors

f

information matrix

Author(s)

A. I. McLeod

References

TBA

See Also

artfima

Examples

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ifisher(d=0.2, lambda=0.0025)
ifisher(d=0.2, lambda=0.0025, alg="Whittle")
ifisher(d=0.2, lambda=0.0025, alg="approx")