arfima0: Exact MLE for ARFIMA The time series is corrected for the...

In arfima: Fractional ARIMA (and Other Long Memory) Time Series Modeling

Exact MLE for ARFIMA The time series is corrected for the sample mean and then exact MLE is used for the other parameters. This is a simplified version of the arfima() function that may be useful in simulations and bootstrapping.

Description

The sample mean is asymptotically efficient.

Usage

arfima0(z, order = c(0, 0, 0), lmodel = c("FD", "FGN", "PLA", "NONE"))

Arguments

z	time series
order	(p,d,q) where p=order AR, d=regular difference, q=order MA
lmodel	type of long-memory component: FD, FGN, PLA or NONE

Value

list with components:

bHat	transformed optimal parameters
alphaHat	estimate of alpha
HHat	estimate of H
dHat	estimate of d
phiHat	estimate of phi
thetaHat	estimate of theta
wLL	optimized value of Whittle approximate log-likelihood
LL	corresponding exact log-likelihood
convergence	convergence indicator

Author(s)

JQ (Justin) Veenstra and A. I. McLeod

Examples

z <- rnorm(100)
arfima0(z, lmodel="FGN")

arfima documentation built on Aug. 19, 2022, 5:14 p.m.