dacv_arma: Compute the partial derivatives of theoretical autocovariance...

In tsPI: Improved Prediction Intervals for ARIMA Processes and Structural Time Series

Compute the partial derivatives of theoretical autocovariance function of ARMA process

Description

Function dacv_arma computes the partial derivatives of theoretical autocovariance function of ARMA process

Usage

dacv_arma(phi, theta, n)

Arguments

phi	vector containing the AR parameters
theta	vector containing the MA parameters
n	length of the time series

Value

matrix containing the partial derivatives autocovariances, each column corresponding to one parameter of vector (phi,theta) (in that order)

See Also

acv_arma.

tsPI documentation built on Sept. 4, 2023, 5:06 p.m.