FitAR: Jacobian – R documentation

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Jacobian

Jacobian AR-coefficients to Partial Autocorrelations

Description

This is more or less and internal routine used by InformationMatrixZeta but it is described in more details since it may be useful in other computations.

Usage

Jacobian(zeta)

Arguments

zeta

partial autocorrelation parameters

Details

The computation is described in detail in McLeod and Zhang (2006, Section 2.2)

Value

square matrix of order length(zeta)

Author(s)

A.I. McLeod

References

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

Examples

#In McLeod and Zhang (2006, p.603) a symbolic example is given
# for the AR(4).  
#
 Jacobian(rep(0.8,4))

FitAR

Subset AR Model Fitting

v1.94

GPL (>= 2)

Authors

A.I. McLeod, Ying Zhang and Changjiang Xu

Initial release

2013-03-15