weakARMA (version 1.0.3)

gradient: Computation the gradient of the residuals of an ARMA model

Description

Computes the gradient of the residuals of an ARMA model.

Usage

gradient(ar = NULL, ma = NULL, y)

Arguments

ar

Vector of ar coefficients.

ma

Vector of ma coefficients.

y

Univariate time series.

Value

A list containing:

der.eps

Matrix of the gradient.

esp

Vector of residuals.

Examples

# NOT RUN {
est<-estimation(p = 1, q = 1, y = CAC40return.sq)
gradient(ar = est$ar, ma = est$ma, y = CAC40return.sq)

# }