Fisher Information Matrix Subset Case, ARp
The large-sample information matrix per observation is computed in a subset AR with the usual parameterization, that is, a subset of the AR coefficients.
InformationMatrixARp(phi, lags)
phi |
vector of coefficients in the subset AR |
lags |
vector indicating lags present in |
The subset information matrix is obtained simply by
selecting the appropriate rows and columns from the full
information matrix. This function is used by FitARp
to obtain the estimated standard errors of the parameter
estimates.
a p-by-p Toeplitz matrix, p = length(phi)
A.I. McLeod & Y. Zhang
McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.
#variances of parameters in a subset ARp(1,2,6) fi<-InformationMatrixARp(c(0.36,0.23,0.23),c(1,2,6)) sqrt(diag(solve(fi*197)))
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