ELW: Exact local Whittle estimator of the fractional difference...

Description Usage Arguments Details References Examples

View source: R/ELW_est.R

Description

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.

Usage

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ELW(data, m, mean.est = c("mean", "init", "weighted", "none"))

Arguments

data

data vector of length T.

m

bandwith parameter specifying the number of Fourier frequencies. used for the estimation usually floor(1+T^delta), where 0<delta<1.

mean.est

specifies the form of mean correction. See details.

Details

add details here

References

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

Examples

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library(fracdiff)
T<-1000
d<-0.8
series<-cumsum(fracdiff.sim(T,d=(d-1))$series)
ts.plot(series)
ELW(series, m=floor(1+T^0.7))$d

FunWithR/LongMemoryTS documentation built on June 9, 2018, 12:22 a.m.