Description Usage Arguments Details References Examples

`ELW`

implements the exact local Whittle estimator of
Shimotsu and Phillips (2005) that is consistent and asymptotically normal as long as
the optimization range is less than 9/2, so that it is possible to estimate the memory
of stationary as well as non-stationary processes.

1 |

`data` |
data vector of length T. |

`m` |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation usually |

`mean.est` |
specifies the form of mean correction. See details. |

add details here

Shimotsu, K. and Phillips, P. C. B. (2005): Exact Local Whittle Estimation Of Fractional Integration. The Annals of Statistics, Vol. 33, No. 4, pp. 1890 - 1933

1 2 3 4 5 6 |

Embedding an R snippet on your website

Add the following code to your website.

For more information on customizing the embed code, read Embedding Snippets.