Description Usage Arguments Details Value Author(s) References See Also Examples
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.
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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" |
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.
se |
standard errors |
f |
information matrix |
A. I. McLeod
TBA
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