Description Usage Arguments Value See Also Examples

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

.

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

`x` |
a univariate time series or a vector. Missing values (NAs) are not allowed. |

`fracdiff.out` |
output from |

`h` |
finite-difference interval for approximating partial
derivatives with respect to the |

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)
``` |

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

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