Last data update: 2014.03.03
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R: Compute the partial derivatives of theoretical autocovariance...
Compute the partial derivatives of theoretical autocovariance function of ARMA process
Description
Function dacv_arma computes the partial derivatives of theoretical autocovariance function of ARMA process
Usage
dacv_arma(phi, theta, n)
Arguments
phi |
vector containing the AR parameters
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theta |
vector containing the MA parameters
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n |
length of the time series
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Value
matrix containing the partial derivatives autocovariances,
each column corresponding to one parameter of vector (phi,theta) (in that order)
See Also
acv_arma .
Results
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