grid_d: Returns a grid for different values of the fractional...

In luisdamiano/LeastFracDiff: Grid Search for the Least Fractional Differenciation Order

Description

Returns a grid for different values of the fractional differentiation order parameter 'd'.

Usage

grid_d(x, fun, dFrom = 0, dTo = 1, dBy = 0.1)

Arguments

x	A time series. Either a numberic vector or an 'xts' object.
fun	A function taking as only argument the time series and returning a p-value.
dFrom	Lower bound for 'd'.
dTo	Upper bound for 'd'.
dBy	Increment for each in the grid.

Value

A grid with four columns: the value of the fractional differentiation order 'd', the p-value returned by 'fun', the Pearson correlation coefficient between the original and the transform series, and the Spearman counterpart.

Examples

## Not run: grid_d(x, adf)

luisdamiano/LeastFracDiff documentation built on May 10, 2019, 3:18 a.m.