Description Usage Arguments Value Author(s) References See Also Examples
This is an auxiliary function which computes expression (18) in Prass and Pumi (2019). It creates an m+1 by m+1 matrix defined by K = J'QJ where J is a m+1 by m+1 lower triangular matrix with all non-zero entries equal to one and Q is a m+1 by m+1 given by Q = I - P where P is the projection matrix into the subspace generated by degree nu+1 polynomials and I is the m+1 by m+1 identity matrix.
1 |
m |
a positive integer greater or equal than nu indicating the size of the window for the polinomial fit. |
nu |
a non-negative integer denoting the degree of the polinomial fit applied on the integrated series. |
J, Q |
optional: the matrices such that K = J'QJ. If both matrices are provided, m and nu are ignored. |
an m+1 by m+1 matrix corresponding to expression (18) in Prass and Pumi (2019).
Taiane Schaedler Prass
Prass, T.S. and Pumi, G. (2019). On the behavior of the DFA and DCCA in trend-stationary processes <arXiv:1910.10589>.
Jn
which creates the matrix J, Qm
which creates Q and Pm
which creates P.
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