FisherInformation-methods | R Documentation |
Compute the Fisher information for the parameters of a model.
FisherInformation(model, ...)
## S3 method for class 'Arima'
FisherInformation(model, ...)
model |
a fitted or theoretical model for which a method is available. |
... |
further arguments for methods. |
FisherInformation
computes the information matrix for the
parameters of model
. This is a generic function. The methods
for objects from S4 classes are listed in section ‘Methods’.
Currently package sarima defines methods for objects representing fitted or theoretical ARMA and seasonal ARMA models. For integrated models the result should be interpreted as the information matrix after differencing.
For ARMA models the implementation is based on \insertCiteFriedlander1984CramerRaoArma;textualsarima and (for the seasonal specifics) \insertCiteGodolphin2007Sarma;textualsarima.
a square matrix with attribute "nseasons"
This section lists FisherInformation
methods for S4
classes.
signature(model = "ANY")
signature(model = "SarimaModel")
signature(model = "ArmaModel")
Georgi Boshnakov
## a fitted model (over-parameterised)
seas_spec <- list(order = c(1,0,1), period = 4)
fitted <- arima(rnorm(100), order = c(1,0,1), seasonal = seas_spec)
(fi <- FisherInformation(fitted))
## asymptotic covariance matrix of the ARMA parameters:
fitted$sigma2 * solve(fi) / 100
## a theoretical seasonal ARMA model:
sarima1 <- new("SarimaModel", ar = 0.9, ma = 0.1, sar = 0.5, sma = 0.9, nseasons = 12)
FisherInformation(sarima1)
## a non-seasonal ARMA model:
arma2a1 <- ArmaModel(ar = 0.5, ma = c(0.3, 0.7), sigma2 = 1)
FisherInformation(arma2a1)
## sigma2 is not needed for the information matrix:
arma2a1a <- ArmaModel(ar = 0.5, ma = c(0.3, 0.7))
FisherInformation(arma2a1a) # same as above
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