artfima (version 1.5)

ifisher: Information matrix for ARTFIMA

Description

The information matrix for the lambda and d in ARTFIMA model. At present only the TFD and FD models are supported but it is planned to extend this to the full ARTFIMA model.

Usage

ifisher(d = numeric(0), lambda = numeric(0), phi = numeric(0),  theta = numeric(0), sigma2 = 1, n = 1, obj = NULL,  alg = c("Fisher", "Whittle", "approx"))

Arguments

d

d parameter

lambda

lambda parameter

phi

AR coefficients

theta

MA coefficients, Box-Jenkins definition

sigma2

innovation variance

n

series length

obj

object of class artfima

alg

"Fisher", "Whittle" or "approx"

Value

se

standard errors

f

information matrix

Details

This is the expected information matrix. The artfima() function returns the component varbeta that is the inverse of the observed information for a fitted model computed from the Hessian matrix.

References

TBA

See Also

artfima

Examples

ifisher(d=0.2, lambda=0.0025)
ifisher(d=0.2, lambda=0.0025, alg="Whittle")
ifisher(d=0.2, lambda=0.0025, alg="approx")