roll_min_d: Finds the least fractional differentiation order subject to...

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

Description

Finds the least fractional differentiation order subject to fun returning less than threshold for a rolling window.

Usage

roll_min_d(x, width, by, ...)

Arguments

x	A time series. Either a numberic vector or an 'xts' object.
width	The number of observations included in each window.
by	The number of observations between each run.
...	Other parameters to be passed to zoo::rollapply and min_d.

Value

An 'xts' object with the time series of 'd'.

Examples

## Not run: roll_min_d(x, width = 252, by = 1)

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