| ARRLS.sim | Simulation of Autoregressive Random Level Shift processes. |
| asymp_MV04 | Critical values from MV04 paper, p.1831 |
| av_peri | Averaged (tapered) periodogram. Only for internal use. |
| B | B matrix in asymptotic distribution. |
| beta_N | Beta estimation which is consistent in the spurious case and... |
| corr_ZRY | Correlation in ZRY18 |
| cos_bell | Cosine Bell Taper |
| cos_bell_cmplx | Complex Cosine Bell Taper |
| crit_N10 | Simulated critical values for N10, memory in (0.51,1.49),... |
| cross_Peri | Cross periodogram for variance estimation in MV04. |
| cross.Peri | Cross periodogram of vector valued time series X and Y |
| cumsumcpp | some comment |
| ddiffw | Helper function that returns AR-representation of... |
| eigen_resids | Calculates eigenvalues and eigenvectors of averaged... |
| ELW | Exact local Whittle estimator of the fractional difference... |
| ELW2S | Two-Step Exact local Whittle estimator of fractional... |
| elW_wrap | Helper for memory estimation. |
| fBM | Fractional Brownian Motion / Bridge of Type I or II. |
| FCI_CH03 | Rank estimation in fractionally cointegrated systems. |
| FCI_CH06 | Residual-based test for fractional cointegration (Chen,... |
| FCI_MV04 | Test for fractional cointegration (Marmol, Velasco (2004)) |
| FCI_N10 | Nonparametric test for fractional cointegration (Nielsen... |
| FCI_NS07 | Rank estimation in fractionally cointegrated systems by... |
| FCI_R08 | Hausman-type test for fractional cointegration (Robinson... |
| FCI_SRFB18 | Frequency-domain test for fractional cointegration (Souza,... |
| FCI_WWC15 | Semiparametric test for fractional cointegration (Wang, Wang,... |
| FCI_ZRY18 | Rank estimation in fractionally cointegrated systems (Zhang,... |
| fdiff | Fast fractional differencing procedure of Jensen and Nielsen... |
| FDLS | Narrow band estimation of the cointegrating vector. |
| F.hat | Empirical cummulative spectral distribution function |
| FI.sim | Simulate multivariate fractional white noise. |
| FMNBLS | Fully Modified Narrow Band Least Squares (FMNBLS) estimation... |
| F.tilde | helper function |
| G.hat | Estimation of G matrix for multivariate long memory... |
| G_hat_cpp | Estimation of G matrix for multivariate long memory... |
| G_hat_nonstat | Estimate G-matrix with periodogram of differenced data for... |
| G.hat.star | Modified complex-valued element of derivative of objective... |
| G.hat.star.star | Modified complex-valued element of derivative of objective... |
| G_LPWN | Estimator of G using polynomial approximation. |
| gph | GPH estimator of fractional difference parameter d. |
| GSE | Multivariate local Whittle estimation of long memory... |
| GSE_coint | Multivariate local Whittle estimation of long memory... |
| H.hat | Real-valued element of derivative of objective function in... |
| H.hat.star | Modified complex-valued element of derivative of objective... |
| H.hat.star.star | Modified complex-valued element of derivative of objective... |
| h_LPWN | Augmented spectral density function used in LPWN estimator. |
| Hou.Perron | Modified local Whittle estimator of fractional difference... |
| invert | Armadillo has trouble inverting complex matrices. This is... |
| J.M | Modified concentrated local Whittle likelihood. Only for... |
| Lambda_j | Calculate matrix Lambda_j(d) as part of the spectral density |
| LAMBDA_m | helper function |
| ll_inner | calculate residuals |
| ll.VARFIMA | Log-likelihood function of a VARFIMA(1,1) in final equations... |
| local.W | Local Whittle estimator of fractional difference parameter d. |
| local_W_taper | Local Whittle estimator for tapered periodogram |
| LongMemoryTS | LongMemoryTS: Long Memory Time Series |
| LPWN | Local polynomial Whittle plus noise estimator |
| lW_wrap | Helper for local Whittle estimation. |
| McC.Perron | GPH estimation of long memory parameter robust to low... |
| MLWS | MLWS test for multivariate spurious long memory. |
| partition.X | Automated partitioning of estimated vector of long memory... |
| Peri | Multivariate Periodogram. |
| Peri_sym | Periodogram for positive and negative Fourier frequencies. |
| peri_taper | Tapered periodogram. Only for internal use. |
| Phi_j | Modified version of Lambda in spectral density in R08 |
| PHI_lw | Scaling factor in the asymptotic variance. Only for internal... |
| poly_LPWN | Polynomial function used for approximation of short memory... |
| pre.White | Pre-whitening for application of semiparametric long memory... |
| Qu.test | Qu test for true long memory against spurious long memory. |
| rank.est | Cointegration Rank Estimation using Model Selection. |
| R_d_multi_GSE | Profiled Likelihood for GSE |
| R_d_multi_GSE_coint | Profiled Likelihood for GSE under Cointegration |
| R.elw | concentrated likelihood function for ELW estimator |
| R.elw.weighted | concentrated likelihood function for ELW estimator - weighted... |
| repcx | some comment |
| R.LPWN | Objective function of LPWN estimator. |
| R.lw | Concentrated local Whittle likelihood. Only for internal use.... |
| R_lw_ch | Local Whittle estimator for tapered periodogram - function to... |
| R.lw.hc | Concentrated local Whittle likelihood of differenced and... |
| R.lw.tapered | Concentrated local Whittle likelihood for tapered estimate.... |
| s.delta | Derivative of multivariate local Whittle objective function... |
| simMLWS | simulate limit distribution of test statistic |
| simone | some comment |
| Slm | Correction factor for small sample standard errors |
| T0stat | Test for equality of all elements in an estimated d-vector... |
| Tab | Test for equality of two elements d_a and d_b of estimated d... |
| T.rho | Test for equality of all elements in an estimated d-vector... |
| VARFIMA.est | Maximum likelihood estimation of a VARFIMA(1,1) in final... |
| VARFIMA.sim | Simulation of a VARFIMA(1,1) in final equations form. |
| V_M | Variance for test statistic MV04. |
| wd.elw | Concentrated local Whittle likelihood. Only for internal use.... |
| W_multi | Helper function for MLWS test for multivariate spurious long... |
