InformationMatrixARMA {FitARMA} | R Documentation |
The expected large-sample information matrix per observation for ARMA(p,q) models is computed.
InformationMatrixARMA(phi = numeric(0), theta = numeric(0))
phi |
AR coefficients |
theta |
MA coefficients |
The information matrix is derived by Box and Jenkins (1970).
a matrix of order (p+q)
A.I. McLeod
Box and Jenkins (1970). Time Series Analysis: Forecasting and Control.
#The covariance matrix estimates of the parameters phi and theta in an ARMA(1,1) #with phi=0.9 and theta=0.5 and n=200 is v<-solve(InformationMatrixARMA(0.9,0.5))/200 v #and the standard errors are sqrt(diag(v))