gradient: Computation the gradient of the residuals of an ARMA model

In weakARMA: Tools for the Analysis of Weak ARMA Models

Computation the gradient of the residuals of an ARMA model

Description

Computes the gradient of the residuals of an ARMA model.

Usage

gradient(ar = NULL, ma = NULL, y)

Arguments

ar	Vector of ar coefficients.
ma	Vector of ma coefficients.
y	Univariate time series.

Value

A list containing:

der.eps

Matrix of the gradient.

esp

Vector of residuals.

Examples

est<-estimation(p = 1, q = 1, y = CAC40return.sq)
gradient(ar = est$ar, ma = est$ma, y = CAC40return.sq)

weakARMA documentation built on April 5, 2022, 1:16 a.m.