jacobian_arma

A <code>vec</code> that contains all the parameter estimates.

theta

A <code>int</code> that indicates the number of AR coefficients

A <code>int</code> that indicates the number of MA coefficients.

A <code>vec</code> that lists the scales of the process e.g. 2^(1:J)


Figure out the Jacobian for an ARMA process.


internal

Generalized Method of Wavelet Moments (GMWM) is an estimation
technique for the parameters of time series models. It uses the wavelet variance
in a moment matching approach that makes it particularly suitable for the
estimation of certain state-space models. Furthermore, there exists a robust
implementation of GMWM, which allows the robust estimation of some state-space
models and ARIMA models. Lastly, the package provides the ability to quickly
generate time series data, perform different wavelet decompositions, and
visualizations.

jacobian_arma: Calculates the Jacobian for the ARMA process

Description

Usage

Arguments

Value