pre.White: Pre-whitening for application of semiparametric long memory...
In LongMemoryTS: Long Memory Time Series
Description
Usage
Arguments
Details
References
Description
Given a parameter vector theta obtained using VARFIMA_est,
pre.White returns the pre-whitened sample.
Usage
1
Arguments
theta
estimated parameter vector.
data
data matrix with T observations of q-dimensional process.
q
dimension of the process.
approx
order of the AR-approximation that is supposed to be used. Default is approx=100.
Details
add details here.
References
Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test
Against Spurious Long Memory. Hannover Economic Paper.
LongMemoryTS documentation built on May 2, 2019, 5:58 a.m.
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Description Usage Arguments Details References
Description
Given a parameter vector theta obtained using VARFIMA_est,
pre.White returns the pre-whitened sample.
Usage
1 |
Arguments
theta |
estimated parameter vector. |
data |
data matrix with T observations of q-dimensional process. |
q |
dimension of the process. |
approx |
order of the AR-approximation that is supposed to be used. Default is |
Details
add details here.
References
Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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