vfracdiff: simulation of vector fractional differencing process
In multiwave: Estimation of Multivariate Long-Memory Models Parameters

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

Given a vector process x and a vector of long memory parameters d, this function is producing the corresponding fractional differencing process.

1	vfracdiff(x, d)

`x`	initial process.
`d`	vector of long-memory parameters

Given a process x, this function applied a fractional difference procedure using the formula:

diag((1-L)^d) x,

where L is the lag operator.

vector fractional differencing of x.

S. Achard and I. Gannaz

S. Achard, I. Gannaz (2016) Multivariate wavelet Whittle estimation in long-range dependence. Journal of Time Series Analysis, Vol 37, N. 4, pages 476-512. http://arxiv.org/abs/1412.0391.

K. Shimotsu (2007) Gaussian semiparametric estimation of multivariate fractionally integrated processes Journal of Econometrics Vol. 137, N. 2, pages 277-310.

S. Achard, I Gannaz (2019) Wavelet-Based and Fourier-Based Multivariate Whittle Estimation: multiwave. Journal of Statistical Software, Vol 89, N. 6, pages 1-31.

varma, fivarma

rho1 <- 0.3
rho2 <- 0.8
cov <- matrix(c(1,rho1,rho2,rho1,1,rho1,rho2,rho1,1),3,3)
d <- c(0.2,0.3,0.4)


J <- 9
N <- 2^J
VMA <- diag(c(0.4,0.1,0))
### or another example VAR <- array(c(0.8,0,0,0,0.6,0,0,0,0.2,0,0,0,0,0.4,0,0,0,0.5),dim=c(3,3,2))
VAR <- diag(c(0.8,0.6,0))
x <- varma(N, k=3, cov_matrix=cov, VAR=VAR, VMA=VMA)
vx<-vfracdiff(x,d)