Compute the covariance matrix of \(\hat{eta}\) for a fractional ARIMA process.
CetaARIMA(eta, p, q, m = 10000, delta = 1e-9)
parameter vector eta = c(H, phi, psi).
eta = c(H, phi, psi)
integer scalars giving the AR and MA order respectively.
integer specifying the length of the Riemann sum, with step size 2 * pi/m.
2 * pi/m
step size for numerical derivative computation.
the (square) matrix containg covariances up to ...
builds on calling specARIMA(eta,p,q,m)
specARIMA(eta,p,q,m)
Beran(1984), listing on p.224--225.
# NOT RUN { (C.7 <- CetaARIMA(0.7, m = 256, p = 0, q = 0)) (C.5 <- CetaARIMA(eta = c(H = 0.5, phi=c(-.06, 0.42, -0.36), psi=0.776), m = 256, p = 3, q = 1)) # }
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