fdiff: Fast fractional differencing procedure of Jensen and Nielsen...
In FunWithR/LongMemoryTS: Long Memory Time Series
Description
Usage
Arguments
Details
Author(s)
References
Examples
Description
Takes the d-th difference of the series.
Usage
1
fdiff(x, d)
Arguments
x
series to be differenced
d
memory parameter indicating order of the fractional difference.
Details
This code was first published on the university webpage of Morten Nielsen and is
redistributed here with the author's permission.
Author(s)
Jensen, A. N. and Nielsen, M. O.
References
Jensen, A. N. and Nielsen, M. O. (2014):
A fast fractional difference algorithm, Journal of Time Series Analysis 35(5), pp. 428-436.
Examples
1
FunWithR/LongMemoryTS documentation built on May 12, 2019, 10:29 p.m.
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Description Usage Arguments Details Author(s) References Examples
Description
Takes the d-th difference of the series.
Usage
1 | fdiff(x, d)
|
Arguments
x |
series to be differenced |
d |
memory parameter indicating order of the fractional difference. |
Details
This code was first published on the university webpage of Morten Nielsen and is redistributed here with the author's permission.
Author(s)
Jensen, A. N. and Nielsen, M. O.
References
Jensen, A. N. and Nielsen, M. O. (2014): A fast fractional difference algorithm, Journal of Time Series Analysis 35(5), pp. 428-436.
Examples
1 |
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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