jacobian_arma: Calculates the Jacobian for the ARMA process
In SMAC-Group/simts: Time Series Analysis Tools
jacobian_arma R Documentation
Calculates the Jacobian for the ARMA process
Description
Take the numerical derivative for the first derivative of an ARMA using the 2 point rule.
Usage
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/simts documentation built on Sept. 4, 2023, 5:25 a.m.
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| jacobian_arma | R Documentation |
Calculates the Jacobian for the ARMA process
Description
Take the numerical derivative for the first derivative of an ARMA using the 2 point rule.
Usage
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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