Description Usage Arguments References Examples
G.hat
Estimates the matrix G of a multivariate long memory process
based on an estimate of the vector of memory parameters. The assumed spectral
density is that of Shimotsu (2007).
1 | G.hat(X, d, m)
|
X |
data matrix with T observations of q-dimensional process. |
d |
q-dimensional data vector. |
m |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation usually |
Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.
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