warfima: Whittle mle arfima

In FGN: Fractional Gaussian Noise and power law decay time series model fitting

Description

Fit time series arfima model using Whittle approximate maximum likelihood estimation.

Usage

warfima(z, order = c(0, 0, 0), lmodel = c("FD", "FGN", "PLA", "PLS", "NONE"))

Arguments

z	vector of time series values
order	c(p,d,q), where is AR order, d is differencing, q is MA order
lmodel	type of hyperbolic decay model

Value

list with components:

bHat	transformed optimal parameters
alphaHat	estimate of alpha
HHat	estimate of H
dHat	estimate of d
phiHat	estimate of phi
thetaHat	estimate of theta
LL	optimized value of Whittle approximate log-likelihood
convergence	convergence indicator
algorithm	optimization algorithm used, 1 for L-BFGS-B, 2 for Nelder-Mead, 3 for SANN

Author(s)

A. I. McLeod

Examples

warfima(NileMin, lmodel="FGN")

FGN documentation built on May 30, 2017, 7:19 a.m.