Description Usage Arguments Value Author(s) See Also Examples
Exact maximum likelihood estimation of the parameter d in fractionally-differenced white noise (FD). In this model, alpha=1-2*d.
1 |
z |
time series data vector |
MeanZeroQ |
optional argument, default is MeanZeroQ=FALSE. Set to TRUE if the mean is known to be zero |
algorithm |
"emle" or "wmle" for exact or Whittle mle |
ciQ |
TRUE or FALSE according as 95 percent confidence interval computed and plotted |
a list with four/five elements:
d |
MLE for d |
Loglikelihood |
value of the maximized loglikelihood |
alpha |
MLE for alpha |
algorithm |
either "emle" or "wmle" |
ci |
95 percent confidence interval for d |
A. I. McLeod
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