Recompute Covariance Estimate for fracdiff
Allows the finite-difference interval to be altered for recomputation of the
covariance estimate for
fracdiff.var(x, fracdiff.out, h)
a univariate time series or a vector. Missing values (NAs) are not allowed.
finite-difference interval for approximating partial
derivatives with respect to the
an object of S3
"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
fracdiff, also for references.
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## 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)
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