gph: GPH estimator of fractional difference parameter d.

In LongMemoryTS: Long Memory Time Series

Description

gph log-periodogram estimator of Geweke and Porter-Hudak (1983) (GPH) and Robinson (1995a) for memory parameter d.

Usage

gph(X, m, l = 1)

Arguments

X	vector of length T.
m	bandwith parameter specifying the number of Fourier frequencies. used for the estimation usually floor(1+T^delta), where 0<delta<1.
l	trimming parameter that determines with which Fourier frequency to start. Default value is l=1.

Details

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References

Robinson, P. M. (1995): Log-periodogram regression of time series with long range dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1048 - 1072.

Geweke, J. and Porter-Hudak, S. (1983): The estimation and application of long memory time series models. Journal of Time Series Analysis, 4, 221-238.

Examples

library(fracdiff)
T<-500
m<-floor(1+T^0.8)
d=0.4
series<-fracdiff.sim(n=T, d=d)$series
gph(X=series,m=m)

Example output

[1] 0.48034

LongMemoryTS documentation built on May 2, 2019, 5:58 a.m.