jacobian_arma: Calculates the Jacobian for the ARMA process
In SMAC-Group/gmwm: Generalized Method of Wavelet Moments
Description
Usage
Arguments
Value
Author(s)
Description
Take the numerical derivative for the first derivative of an ARMA using the 2 point rule.
Usage
1
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)
SMAC-Group/gmwm documentation built on Sept. 11, 2021, 10:06 a.m.
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Description Usage Arguments Value Author(s)
Description
Take the numerical derivative for the first derivative of an ARMA using the 2 point rule.
Usage
1 | jacobian_arma(theta, p, q, tau)
|
Arguments
theta |
A |
p |
A |
q |
A |
tau |
A |
Value
A mat that returns the first numerical derivative of the ARMA process.
Author(s)
James Joseph Balamuta (JJB)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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