W_multi: Helper function for MLWS test for multivariate spurious long...

Description Usage Arguments Details References

View source: R/RcppExports.R

Description

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).

Usage

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

Arguments

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.

Details

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References

Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.


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