# fracdiff.var: Recompute Covariance Estimate for fracdiff In fracdiff: Fractionally differenced ARIMA aka ARFIMA(p,d,q) models

## Description

Allows the finite-difference interval to be altered for recomputation of the covariance estimate for `fracdiff`.

## Usage

 `1` ```fracdiff.var(x, fracdiff.out, h) ```

## Arguments

 `x` a univariate time series or a vector. Missing values (NAs) are not allowed. `fracdiff.out` output from `fracdiff` for time series `x`. `h` finite-difference interval for approximating partial derivatives with respect to the `d` parameter.

## Value

an object of S3 `class` `"fracdiff"`, i.e., basically a list with the same elements as the result from `fracdiff`, but with possibly different values for the hessian, covariance, and correlation matrices and for standard error, as well as for `h`.

`fracdiff`, also for references.
 ``` 1 2 3 4 5 6 7 8 9 10 11``` ```## Generate a fractionally-differenced ARIMA(1,d,1) model : ts.test <- fracdiff.sim(10000, ar = .2, ma = .4, d = .3) ## estimate the parameters in an ARIMA(1,d,1) model for the simulated series fd.out <- fracdiff(ts.test\$ser, nar= 1, nma = 1) ## Modify the covariance estimate by changing the finite-difference interval (fd.o2 <- fracdiff.var(ts.test\$series, fd.out, h = .0001)) ## looks identical as print(fd.out), ## however these (e.g.) differ : vcov(fd.out) vcov(fd.o2) ```