Differenciates the time series data using the approximated binomial expression of the long-memory filter and an estimate of the memory parameter in the ARFIMA(p,d,q) model.
numeric vector or univariate time series
number specifiying the fractional difference order.
the fractionally differenced series
Valderio A. Reisen [email protected] and Artur J. Lemonte
See those in
Reisen, V. A. and Lopes, S. (1999) Some simulations and applications of forecasting long-memory time series models; Journal of Statistical Planning and Inference 80, 269–287.
Reisen, V. A. Cribari-Neto, F. and Jensen, M.J. (2003) Long Memory Inflationary Dynamics. The case of Brazil. Studies in Nonlinear Dynamics and Econometrics 7(3), 1–16.
1 2 3 4
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.