W_multi: Helper function for MLWS test for multivariate spurious long...
In FunWithR/LongMemoryTS: Long Memory Time Series

Description Usage Arguments Details References

Multivariate local Whittle Score type test for the null hypothesis of true long memory against the alternative of spurious long memory suggested by Sibbertsen, Leschinski and Holzhausen (2015).

1	W_multi(X, d_vec, m, epsilon, eta)

`X`	data matrix
`d_vec`	estimated vector of memory parameters.
`m`	bandwith parameter specifying the number of Fourier frequencies used for the estimation usually `floor(1+T^delta)`, where 0.5<delta<0.8 for consistency.
`epsilon`	trimming parameter `epsilon=0.05` by default. Determines minimum number of Fourier frequencies used in test statistic. For T>500 it is recommended to use `epsilon=0.02`. Confer Sibbertsen, Leschinski, Holzhausen (2015) for further details.
`eta`	weight vector.