pre.White: Pre-whitening for application of semiparametric long memory...

Description Usage Arguments Details References

View source: R/preWhite.R

Description

Given a parameter vector theta obtained using VARFIMA_est, pre.White returns the pre-whitened sample.

Usage

1
pre.White(theta, data, q, approx = 100)

Arguments

theta

estimated parameter vector.

data

data matrix with T observations of q-dimensional process.

q

dimension of the process.

approx

order of the AR-approximation that is supposed to be used. Default is approx=100.

Details

add details here.

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.