local.W: Local Whittle estimator of fractional difference parameter d.

Description Usage Arguments Details References Examples

View source: R/local_W.R

Description

local.W Semiparametric local Whittle estimator for memory parameter d following Robinson (1995). Returns estimate and asymptotic standard error.

Usage

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local.W(data, m, int = c(-0.5, 2.5), taper = c("none", "Velasco", "HC"),
  diff_param = 1)

Arguments

data

vector of length T.

m

bandwith parameter specifying the number of Fourier frequencies. used for the estimation usually floor(1+T^delta), where 0<delta<1.

int

admissible range for d. Restricts the interval of the numerical optimization.

taper

Boolean to determine whether standard local Whittle estimator of Robinson (1995) or tapered version of Velasco (1999) is used.

Details

add details here.

References

Robinson, P. M. (1995): Gaussian Semiparametric Estimation of Long Range Dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1630 - 1661. Velasco, C. (1999): Gaussian Semiparametric Estimation for Non-Stationary Time Series. Journal of Time Series Analysis, Vol. 20, No. 1, pp. 87-126.

Examples

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library(fracdiff)
T<-1000
d<-0.4
series<-fracdiff.sim(n=T, d=d)$series
local.W(series,m=floor(1+T^0.65))

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