GSE Estimates the matrix G based on an estimate of the vector of memory parameters.
GSE(X, m = m)
data matrix with T observations of q-dimensional process.
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation usually
add details here.
Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.
1 2 3 4 5 6
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.