G_hat_cpp: Estimation of G matrix for multivariate long memory...

Description Usage Arguments Details References

View source: R/RcppExports.R

Description

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).

Usage

1
G_hat_cpp(peri, Lambda_cube, d_vec, m, q)

Arguments

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 floor(1+T^delta), where 0<delta<1.

q

dimension of the process.

Details

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References

Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.


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