Displaying 1 result from an estimated 1 matches for "tphi".
Did you mean:
phi
2011 Jul 20
0
The C function getQ0 returns a non-positive covariance matrix and causes errors in arima()
...t;- phi[C[B]]
A2 <- matrix(0,r,q+1)
C <- (col(A2)+row(A2)-1)
B <- (C<=q+1)
A2[B] <- ttheta[C[B]]
A <- cbind(A1,A2)
if (p==0) {
S <- diag(q+1)
}
else {
## Compute the autocovariance function of U, the AR part of X
r2 <- max(p+q,p+1)
tphi <- c(1,-phi)
C1 <- matrix(0,r2,r2)
F <- row(C1)-col(C1)+1
E <- (1<=F)&(F<=p+1)
C1[E] <- tphi[F[E]]
C2 <- matrix(0,r2,r2)
F <- col(C2)+row(C2)-1
E <- (F<=p+1) & col(C2)>=2
C2[E] <- tphi[F[E]]
Gam <- (C1+C2...