Description Usage Arguments Value Author(s) References Examples
Function returns the long-run variance of a time series, relying on the Bartlett kernel. The window size of the kernel is the cube root of the sample size.
1 | lrvarbart(x)
|
x |
a |
lrv |
long-run variance |
return |
bandwidth size of the window |
Andrea Bucci
Hamilton J. D. (1994), Time Series Analysis. Princeton University Press; Tsay R.S. (2005), Analysis of Financial Time Series. John Wiley & SONS
1 2 |
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