Description Usage Arguments Value Author(s) References See Also Examples
This is a wrapper function for the hurstSpec
-function as well as the fracdiff
-package for internal use as part of the arfimaMLM
function. The function estimates the fractional differencing parameter d of a series x
and returns the fractionally differenced series. Alternatively, the differencing parameter can be estimated externally and included as a numeric argument in dval
. In this case, the function returns the fractionally differenced series without estimating the differencing parameter itself.
1 2 3 4 5 6 7 |
x |
Numeric vector or time series to be fractionally differenced. |
dval |
Call for a specific estimation method for the fractional differencing parameter in the |
... |
Further arguments passed to |
series |
Fractionally differenciated series. |
estimator |
Method used to estimate differencing parameter ( |
value |
Estimated differencing parameter, returns the |
Patrick Kraft
See those in hurstSpec
, fracdiff
, fdGPH
,
fdSperio
, and diffseries
.
hurstSpec
, fracdiff
, fdGPH
,
fdSperio
, diffseries
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 | require(fractal)
require(fracdiff)
set.seed(123)
series=fracdiff.sim(100, d=0.4, mu=10)$series
## S3 method for class 'character'
# estimates fractional differencing parameter d
# and differenciates series accordingly
series.fd1<-fd(series)
series.fd2<-fd(series, dval="ML")
series.fd3<-fd(series, dval="GPH")
series.fd4<-fd(series, dval="Sperio")
## S3 method for class 'numeric'
# differenciates series according to
# externally provided differencing parameter
series.fd5<-fd(series, dval=0.4)
|
Loading required package: lme4
Loading required package: Matrix
Loading required package: fractal
Loading required package: splus2R
Loading required package: ifultools
Loading required package: fracdiff
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