Description Usage Arguments References Examples
local.W
Semiparametric local Whittle estimator for memory parameter d following Robinson (1995).
Returns estimate and asymptotic standard error.
1 2 |
data |
vector of length T. |
m |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation usually |
int |
admissible range for d. Restricts the interval of the numerical optimization. |
taper |
string that is either |
diff_param |
integer specifying the order of differentiation for the estimator of Hurvich and Chen (2000). Default is |
l |
integer that determines how many frequencies (l-1) are trimmed out if taper="none" is selected. Default is l=1. |
Robinson, P. M. (1995): Gaussian Semiparametric Estimation of Long Range Dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1630 - 1661.
Velasco, C. (1999): Gaussian Semiparametric Estimation for Non-Stationary Time Series. Journal of Time Series Analysis, Vol. 20, No. 1, pp. 87-126.
Hurvich, C. M., and Chen, W. W. (2000): An Efficient Taper for Potentially Overdifferenced Long-Memory Time Series. Journal of Time Series Analysis, Vol. 21, No. 2, pp. 155-180.
1 2 3 4 5 |
$d
[1] 0.4757624
$s.e.
[1] 0.05270463
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