tccfAR {FitARMA} | R Documentation |
The auxilary AR processes in the ARMA(p,q) model phi(B)z(t)=theta(B)a(t) are defined by phi(B)u(t)=-a(t) and theta(B)v(t)=a(t). The upper off-diagonal p-by-q block of the ARMA information matrix is obtained from the cross-covariances of u(t) and v(t). This function obtains these covariances.
tccfAR(phi, theta)
phi |
AR coefficients in ARMA |
theta |
MA coefficients in ARMA |
A set of linear equations which determine the covariances is solved. The algorithm is similar in spirit to that for the autocovariances (McLeod, 1975).
vector of cross-covariances
A.I. McLeod
McLeod, A.I. (1975), Derivation of the theoretical autocorrelation function of autoregressive moving-average time series, Applied Statistics 24, 255-256.
tccfAR(0.9,0.5)