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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

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