Description Usage Arguments Value Author(s) References See Also Examples

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.

1 | ```
diffseries(x, d)
``` |

`x` |
numeric vector or univariate time series |

.

`d` |
number specifiying the fractional difference order. |

the fractionally differenced series `x`

.

Valderio A. Reisen [email protected] and Artur J. Lemonte

See those in `fdSperio`

; additionally

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 | ```
memory.long <- fracdiff.sim(80, d = 0.3)
mGPH <- fdGPH(memory.long$series)
r <- diffseries(memory.long$series, d = mGPH$d)
#acf(r) # shouldn't show structure - ideally
``` |

```
```

fracdiff documentation built on May 29, 2017, 11:51 a.m.

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.