Grocer Function
NAME
arma_dv - Computes the partial derivatives in a VARMA model
CALLING SEQUENCE
[F,dF,A,dA,V,dV,G,dG]=arma_dv(theta,theta2mat,di)
PARAMETERS
Input
-
theta = (npx1) vector of starting values for the parameters
-
theta2mat = a string vector of instructions that transforms
theta into the matrices FR, FS, AR, AS, V and G
-
di = a scalar
Output
-
F = the whole AR part of the model
-
A = the whole MA part of the model
-
V = the variance of the residuals
-
G = the coefficients of the exogenous variables
-
dF, dA, dV, dG = the derivatives of these matrices with
respect to the i-th parameter in theta
DESCRIPTION
Computes the partial derivatives of the matrices in reduced form of a VARMAX model with respect to i-th parameter of the theta vector.
EXAMPLE
[F,dF,A,dA,V,dV,G,dG] = arma_dv(theta,theta2mat,di);
Examples taken from function fr_dv(); this is an intermedaite in the calculation of the derivative of
the information matrix with respect to the parameters (see function imod())
AUTHOR
Jaime Terceiro, 1997/ Eric Dubois 2003