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> containing the scales e.g. \(2^{\tau}\)

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

internal

A system contains easy-to-use tools as a support for time series analysis courses. In particular, it incorporates a technique called Generalized Method of Wavelet Moments (GMWM) as well as its robust implementation for fast and robust parameter estimation of time series models which is described, for example, in Guerrier et al. (2013) <doi: 10.1080/01621459.2013.799920>. More details can also be found in the paper linked to via the URL below.

St<c3><a9>phane Guerrier

simts

Time Series Analysis Tools

James Balamuta

jacobian_arma: Calculates the Jacobian for the ARMA process

Description

Usage

Arguments

Value