Description

Obtain the first derivative of the MA(1) process.

Usage

Arguments

Value

A matrix with the first column containing the partial derivative with respect to theta and the second column contains the partial derivative with respect to sigma^2

Process Haar WV First Derivative

Taking the derivative with respect to theta yields:

d/dtheta v[j]^2 (theta, sigma2) = (sigma2*(2*(theta+1)*tau[j]-6))/(tau[j]^2)

Taking the derivative with respect to sigma^2 yields:

d/dsigma2 v[j]^2 (theta, sigma2) = ((theta+1)^2*tau[j]-6*theta)/(tau[j]^2)

Author(s)

James Joseph Balamuta (JJB)