jacobian_arma: Calculates the Jacobian for the ARMA process

In simts: Time Series Analysis Tools

Calculates the Jacobian for the ARMA process

Description

Take the numerical derivative for the first derivative of an ARMA using the 2 point rule.

Usage

jacobian_arma(theta, p, q, tau)

Arguments

theta	A vec that contains all the parameter estimates.
p	A int that indicates the number of AR coefficients
q	A int that indicates the number of MA coefficients.
tau	A vec containing the scales e.g. 2^{\tau}

Value

A mat that returns the first numerical derivative of the ARMA process.

Author(s)

James Joseph Balamuta (JJB)

simts documentation built on Aug. 31, 2023, 5:07 p.m.