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

In FunWithR/LongMemoryTS: Long Memory Time Series

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

G_hat_cpp(peri, Lambda_cube, d_vec, m, l, 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.

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 May 12, 2019, 10:29 p.m.