JacobianK(FitAR)R Documentation

Internal utility function

Description

The matrix defined in eqn. (10) of McLeod and Zhang (2006). Used by the function Jackobian.

Usage

JacobianK(zeta, k)

Arguments

zeta partial autocorrelations
k k-th Jacobian

Value

matrix

Author(s)

A.I. McLeod

References

McLeod, A.I. and Zhang, Y. (2006). Partial autocorrelation parameterization for subset autoregression. Journal of Time Series Analysis, 27, 599-612.

See Also

Jacobian

Examples

JacobianK(rep(0.8,4),3)

[Package FitAR version 1.0 Index]