Description Usage Arguments Details References Examples
LPWN
calculates the local polynomial Whittle plus noise estimator of Frederiksen et al. (2012).
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data |
data vector |
m |
bandwith parameter specifying the number of Fourier frequencies. |
R_short |
number of (even) polynomial terms used for approximation of spectral density at the origin. |
R_noise |
number of (even) polynomial terms used for approximation of dependence in perturbation term. |
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Frederiksen, P., Nielsen, F. S., and Nielsen, M. O. (2012): Local polynomial Whittle estimation of perturbed fractional processes. Journal of Econometrics, Vol. 167, No.2, pp. 426-447.
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