CetaARIMA {longmemo} | R Documentation |
Compute the covariance matrix of eta^ for a fractional ARIMA process.
CetaARIMA(eta, p, q, m = 10000, delta = 1e-9)
eta |
parameter vector eta = c(H, phi, psi) . |
p,q |
integer scalars giving the AR and MA order respectively. |
m |
integer specifying the length of the Riemann sum, with step
size 2 * pi/m . |
delta |
step size for numerical derivative computation. |
builds on calling specARIMA(eta,p,q,m)
the (square) matrix containg covariances up to ...
Jan Beran (principal) and Martin Maechler (fine tuning)
Beran(1984), listing on p.224–225.
(C.7 <- CetaARIMA(0.7, m = 256, p = 0, q = 0)) (C.5 <- CetaARIMA(eta = c(H = 0.5, phi=c(-.06, 0.42, -0.36), psi=0.776), m = 256, p = 3, q = 1))