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R
simts

jacobian_arma

Calculates the Jacobian for the ARMA process

Description

Take the numerical derivative for the first derivative of an ARMA using the 2 point rule.

Usage

jacobian_arma(theta, p, q, tau)

Arguments

theta

A vec that contains all the parameter estimates.
p

A int that indicates the number of AR coefficients
q

A int that indicates the number of MA coefficients.
tau

A vec containing the scales e.g. 2^tau

Value

A mat that returns the first numerical derivative of the ARMA process.

Author(s)

James Joseph Balamuta (JJB)

simts

Time Series Analysis Tools

v0.1.1
AGPL-3 | file LICENSE
Authors
Stéphane Guerrier [aut, cre, cph], James Balamuta [aut, cph], Roberto Molinari [aut, cph], Justin Lee [aut], Yuming Zhang [aut], Wenchao Yang [ctb], Nathanael Claussen [ctb], Yunxiang Zhang [ctb], Christian Gunning [cph], Romain Francois [cph], Ross Ihaka [cph], R Core Team [cph]
Initial release
2019-07-21

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