Description Usage Arguments Details References
Multivariate local Whittle Score type test for the null hypothesis of true long memory against the alternative of spurious long memory suggested by Sibbertsen, Leschinski and Holzhausen (2015).
1 | W_multi(X, d_vec, m, epsilon, eta)
|
X |
data matrix |
d_vec |
estimated vector of memory parameters. |
m |
bandwith parameter specifying the number of Fourier frequencies used
for the estimation usually |
epsilon |
trimming parameter |
eta |
weight vector. |
add details here
Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.