Analytic second derivative matrix for AR(1) process

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Description

Analytic second derivative matrix for AR(1) process

Usage

1
deriv_2nd_ar1(phi, sig2, tau)

Arguments

phi

A double corresponding to the phi coefficient of an AR(1) process.

sig2

A double corresponding to the error term of an AR(1) process.

tau

A vec that contains the scales to be processed (e.g. 2^(1:J))

Details

The haar wavelet variance is given as See PDF Manual for equation Note: phi = rho and V[0]^2 = sigma[0]^2. Due to length, the analytical derivations of the AR(1) haar wavelet variance are given in a supplied file within vignette.

Value

A matrix with the first column containing the second partial derivative with respect to sigma^2 and the second column contains the second partial derivative with respect to sigma^2

Author(s)

JJB

Examples

1
deriv_2nd_ar1(.3, 1, 2^(1:5))

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