ARRLS.sim | Simulation of Autoregressive Random Level Shift processes. |
asymp_MV04 | Critical values from MV04 paper, p.1831 |
av_peri | Averaged (tapered) periodogram. Only for internal use. |
B | B matrix in asymptotic distribution. |
beta_N | Beta estimation which is consistent in the spurious case and... |
corr_ZRY | Correlation in ZRY18 |
cos_bell | Cosine Bell Taper |
cos_bell_cmplx | Complex Cosine Bell Taper |
crit_N10 | Simulated critical values for N10, memory in (0.51,1.49),... |
cross_Peri | Cross periodogram for variance estimation in MV04. |
cross.Peri | Cross periodogram of vector valued time series X and Y |
cumsumcpp | some comment |
ddiffw | Helper function that returns AR-representation of... |
eigen_resids | Calculates eigenvalues and eigenvectors of averaged... |
ELW | Exact local Whittle estimator of the fractional difference... |
ELW2S | Two-Step Exact local Whittle estimator of fractional... |
elW_wrap | Helper for memory estimation. |
fBM | Fractional Brownian Motion / Bridge of Type I or II. |
FCI_CH03 | Rank estimation in fractionally cointegrated systems. |
FCI_CH06 | Residual-based test for fractional cointegration (Chen,... |
FCI_MV04 | Test for fractional cointegration (Marmol, Velasco (2004)) |
FCI_N10 | Nonparametric test for fractional cointegration (Nielsen... |
FCI_NS07 | Rank estimation in fractionally cointegrated systems by... |
FCI_R08 | Hausman-type test for fractional cointegration (Robinson... |
FCI_SRFB18 | Frequency-domain test for fractional cointegration (Souza,... |
FCI_WWC15 | Semiparametric test for fractional cointegration (Wang, Wang,... |
FCI_ZRY18 | Rank estimation in fractionally cointegrated systems (Zhang,... |
fdiff | Fast fractional differencing procedure of Jensen and Nielsen... |
FDLS | Narrow band estimation of the cointegrating vector. |
F.hat | Empirical cummulative spectral distribution function |
FI.sim | Simulate multivariate fractional white noise. |
FMNBLS | Fully Modified Narrow Band Least Squares (FMNBLS) estimation... |
F.tilde | helper function |
G.hat | Estimation of G matrix for multivariate long memory... |
G_hat_cpp | Estimation of G matrix for multivariate long memory... |
G_hat_nonstat | Estimate G-matrix with periodogram of differenced data for... |
G.hat.star | Modified complex-valued element of derivative of objective... |
G.hat.star.star | Modified complex-valued element of derivative of objective... |
G_LPWN | Estimator of G using polynomial approximation. |
gph | GPH estimator of fractional difference parameter d. |
GSE | Multivariate local Whittle estimation of long memory... |
GSE_coint | Multivariate local Whittle estimation of long memory... |
H.hat | Real-valued element of derivative of objective function in... |
H.hat.star | Modified complex-valued element of derivative of objective... |
H.hat.star.star | Modified complex-valued element of derivative of objective... |
h_LPWN | Augmented spectral density function used in LPWN estimator. |
Hou.Perron | Modified local Whittle estimator of fractional difference... |
invert | Armadillo has trouble inverting complex matrices. This is... |
J.M | Modified concentrated local Whittle likelihood. Only for... |
Lambda_j | Calculate matrix Lambda_j(d) as part of the spectral density |
LAMBDA_m | helper function |
ll_inner | calculate residuals |
ll.VARFIMA | Log-likelihood function of a VARFIMA(1,1) in final equations... |
local.W | Local Whittle estimator of fractional difference parameter d. |
local_W_taper | Local Whittle estimator for tapered periodogram |
LongMemoryTS | LongMemoryTS: Long Memory Time Series |
LPWN | Local polynomial Whittle plus noise estimator |
lW_wrap | Helper for local Whittle estimation. |
McC.Perron | GPH estimation of long memory parameter robust to low... |
MLWS | MLWS test for multivariate spurious long memory. |
partition.X | Automated partitioning of estimated vector of long memory... |
Peri | Multivariate Periodogram. |
Peri_sym | Periodogram for positive and negative Fourier frequencies. |
peri_taper | Tapered periodogram. Only for internal use. |
Phi_j | Modified version of Lambda in spectral density in R08 |
PHI_lw | Scaling factor in the asymptotic variance. Only for internal... |
poly_LPWN | Polynomial function used for approximation of short memory... |
pre.White | Pre-whitening for application of semiparametric long memory... |
Qu.test | Qu test for true long memory against spurious long memory. |
rank.est | Cointegration Rank Estimation using Model Selection. |
R_d_multi_GSE | Profiled Likelihood for GSE |
R_d_multi_GSE_coint | Profiled Likelihood for GSE under Cointegration |
R.elw | concentrated likelihood function for ELW estimator |
R.elw.weighted | concentrated likelihood function for ELW estimator - weighted... |
repcx | some comment |
R.LPWN | Objective function of LPWN estimator. |
R.lw | Concentrated local Whittle likelihood. Only for internal use.... |
R_lw_ch | Local Whittle estimator for tapered periodogram - function to... |
R.lw.hc | Concentrated local Whittle likelihood of differenced and... |
R.lw.tapered | Concentrated local Whittle likelihood for tapered estimate.... |
s.delta | Derivative of multivariate local Whittle objective function... |
simMLWS | simulate limit distribution of test statistic |
simone | some comment |
Slm | Correction factor for small sample standard errors |
T0stat | Test for equality of all elements in an estimated d-vector... |
Tab | Test for equality of two elements d_a and d_b of estimated d... |
T.rho | Test for equality of all elements in an estimated d-vector... |
VARFIMA.est | Maximum likelihood estimation of a VARFIMA(1,1) in final... |
VARFIMA.sim | Simulation of a VARFIMA(1,1) in final equations form. |
V_M | Variance for test statistic MV04. |
wd.elw | Concentrated local Whittle likelihood. Only for internal use.... |
W_multi | Helper function for MLWS test for multivariate spurious long... |
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