Description Usage Arguments References
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 |
peri |
cube containing the periodogram of the multivariate process X. |
Lambda_cube |
cube containing the Lambda matrices. |
d_vec |
q-dimensional data vector. |
m |
bandwith parameter specifying the number of Fourier frequencies
used for the estimation usually |
q |
dimension of the process. |
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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