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JacobianK

Internal Utility Function

Description

The matrix defined in eqn. (10) of McLeod and Zhang (2006). Used by the function Jacobian.

Usage

JacobianK(zeta, k)

Arguments

zeta

partial autocorrelations

k

k-th Jacobian

Value

Matrix

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.

See Also

Examples

JacobianK(rep(0.8,4),3)
FitAR

Subset AR Model Fitting

v1.94
GPL (>= 2)
Authors
A.I. McLeod, Ying Zhang and Changjiang Xu
Initial release
2013-03-15

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