vcov.arfima: Extracts the Variance-Covariance Matrix

In JQVeenstra/arfima: Fractional ARIMA (and Other Long Memory) Time Series Modeling

Extracts the Variance-Covariance Matrix

Description

Extracts the variance-covariance matrices (one or two for each mode) from a fitted arfima object.

Usage

## S3 method for class 'arfima'
vcov(
  object,
  type = c("b", "o", "e"),
  cor = FALSE,
  digits = max(4, getOption("digits") - 3),
  tapprox = FALSE,
  summ = FALSE,
  ...
)

Arguments

object	A fitted arfima object
type	Which type of covariance matrix to return: "o" is the observed matrix (from solving the Hessian), "e" is the expected matrix (from solving the information matrix), and "b" is both.
cor	Whether or not the correlation matrix should be returned instead.
digits	The number of digits to print.
tapprox	Whether or not to use an approximation to find the expected matrix. Highly recommended to be FALSE, as it takes much longer, and is an approximation.
summ	Whether the call is from the summary.arfima function. Should not be used except internally.
...	Optional arguments, currently not used.

Value

A list of lists (one for each mode) with components observed and/or expected.

Author(s)

JQ (Justin) Veenstra

References

Veenstra, J.Q. Persistence and Antipersistence: Theory and Software (PhD Thesis)

See Also

summary.arfima, arfima

Examples

set.seed(1234)
sim <- arfima.sim(1000, model = list(dfrac = 0.4, phi = .8, theta = -0.5))
fit1 <- arfima(sim, order = c(1, 0, 1), back=TRUE)
fit2 <- arfima(sim, order = c(1, 0, 1), lmodel = "g", back=TRUE)
fit3 <- arfima(sim, order = c(1, 0, 1), lmodel = "h", back=TRUE)
fit1
fit2
fit3
vcov(fit1)
vcov(fit2)
vcov(fit2)

JQVeenstra/arfima documentation built on Jan. 31, 2024, 12:11 p.m.