Man pages for FunWithR/LongMemoryTS
Long Memory Library

ARRLS.simSimulation of Autoregressive Random Level Shift processes.
BB matrix in asymptotic distribution.
cos_bellCosine Bell Taper
cos_bell_cmplxComplex Cosine Bell Taper
cross.Pericross periodogram of vectors X and Y
cumsumcppsome comment
ddiffwHelper function that returns AR-representation of...
ELWExact local Whittle estimator of the fractional difference...
ELW2STwo-Step Exact local Whittle estimator of fractional...
fdiffFast fractional differencing procedure of Jensen and Nielsen...
FDLSNarrow band estimation of the cointegrating vector.
F.hatEmpirical cummulative spectral distribution function
FI.simSimulate multivariate fractional white noise.
FMNBLSFully Modified Narrow Band Least Squares (FMNBLS) estimation...
F.tildehelper function
G.hatEstimation of G matrix for multivariate long memory...
G_hat_cppEstimation of G matrix for multivariate long memory...
G_LPWNEstimator of G using polynomial approximation.
gphGPH estimator of fractional difference parameter d.
GSEMultivariate local Whittle estimation of long memory...
GSE_cointMultivariate local Whittle estimation of long memory...
h_LPWNAugmented spectral density function used in LPWN estimator.
Hou.PerronModified local Whittle estimator of fractional difference...
invertArmadillo has trouble inverting complex matrices. This is...
J.MModified concentrated local Whittle likelihood. Only for...
Lambda_jCalculate matrix Lambda_j(d) as part of the spectral density
LAMBDA_mhelper function
ll_innercalculate residuals
ll.VARFIMALog-likelihood function of a VARFIMA(1,1) in final equations...
LMlibLMlib: Long Memory Library
local.WLocal Whittle estimator of fractional difference parameter d.
LPWNLocal polynomial Whittle plus noise estimator
McC.PerronGPH estimation of long memory parameter robust to low...
MLWSMLWS test for multivariate spurious long memory.
partition.XAutomated partitioning of estimated vector of long memory...
PeriMultivariate Periodogram.
PHI_lwScaling factor in the asymptotic variance. Only for internal...
poly_LPWNPolynomial function used for approximation of short memory...
pre.WhitePre-whitening for application of semiparametric long memory...
Qu.testQu test for true long memory against spurious long memory.
rank.estCointegration Rank Estimation using Model Selection.
R_d_multi_GSEProfiled Likelihood for GSE
R_d_multi_GSE_cointProfiled Likelihood for GSE under Cointegration
repcxsome comment
R.LPWNObjective function of LPWN estimator.
R.lwConcentrated local Whittle likelihood. Only for internal use....
R.lw.hcConcentrated local Whittle likelihood of differenced and...
R.lw.taperedConcentrated local Whittle likelihood for tapered estimate....
simMLWSsimulate limit distribution of test statistic
simonesome comment
SlmCorrection factor for small sample standard errors
T0statTest for equality of all elements in an estimated d-vector...
TabTest for equality of two elements d_a and d_b of estimated d...
T.rhoTest for equality of all elements in an estimated d-vector...
VARFIMA.estMaximum likelihood estimation of a VARFIMA(1,1) in final...
VARFIMA.simSimulation of a VARFIMA(1,1) in final equations form.
wd.elwConcentrated local Whittle likelihood. Only for internal use....
W_multiHelper function for MLWS test for multivariate spurious long...
FunWithR/LongMemoryTS documentation built on June 9, 2018, 12:22 a.m.