ifisher: Information matrix for ARTFIMA

In artfima: ARTFIMA Model Estimation

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

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

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")

artfima documentation built on May 2, 2019, 1:27 p.m.