Estimate the fractional (or “memory”) parameter *d* in the
ARFIMA(p,d,q) model by the method of Geweke and Porter-Hudak (GPH).
The GPH estimator is based on the regression equation using the
periodogram function as an estimate of the spectral density.

1 | ```
fdGPH(x, bandw.exp = 0.5)
``` |

`x` |
univariate time series |

`bandw.exp` |
the bandwidth used in the regression equation |

The function also provides the asymptotic standard deviation and the standard error deviation of the fractional estimator.

The bandwidth is
`bw = trunc(n ^ bandw.exp)`

, where 0 < bandw.exp < 1 and n is the sample size.
Default `bandw.exp = 0.5`

.

`d` |
GPH estimate |

`sd.as` |
asymptotic standard deviation |

`sd.reg` |
standard error deviation |

Valderio A. Reisen and Artur J. Lemonte

see those in `fdSperio`

.

1 2 | ```
memory.long <- fracdiff.sim(1500, d = 0.3)
fdGPH(memory.long$series)
``` |

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.