R: Large Sample Approximation of Information Matrix for ARMA...
information_arma
R Documentation
Large Sample Approximation of Information Matrix for ARMA process
Description
Fortran implementation of InformationMatrixARMA function of
FitARMA package, except that the function uses the same
ARMA model definition as arima, where both the
AR and MA parts of the model are on the right side of the equation, i.e.
MA coefficients differ in sign compared to InformationMatrixARMA.
Usage
information_arma(phi = NULL, theta = NULL)
Arguments
phi
Autoregressive coefficients.
theta
Moving average coefficients.
Value
Large sample approximation of information matrix for ARMA process.
References
Box, G. and Jenkins, G. (1970). Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.
McLeod, A. I. and Zhang, Y., (2007). Faster ARMA maximum likelihood estimation Computational Statistics & Data
Analysis 52(4) URL http://dx.doi.org/10.1016/j.csda.2007.07.020