Description Usage Arguments Details Value Author(s) References
Computes the band-pass variance for fractional difference (FD) or seasonal persistent (SP) processes using numeric integration of their spectral density function.
1 2 3 4 | bandpass.fdp(a, b, d)
bandpass.spp(a, b, d, fG)
bandpass.spp2(a, b, d1, f1, d2, f2)
bandpass.var.spp(delta, fG, J, Basis, Length)
|
a |
Left-hand boundary for the definite integral. |
b |
Right-hand boundary for the definite integral. |
d,delta,d1,d2 |
Fractional difference parameter. |
fG,f1,f2 |
Gegenbauer frequency. |
J |
Depth of the wavelet transform. |
Basis |
Logical vector representing the adaptive basis. |
Length |
Number of elements in Basis. |
See references.
Band-pass variance for the FD or SP process between a and b.
Brandon Whitcher
McCoy, E. J., and A. T. Walden (1996) Wavelet analysis and synthesis of stationary long-memory processes, Journal for Computational and Graphical Statistics, 5, No. 1, 26-56.
Whitcher, B. (2001) Simulating Gaussian stationary processes with unbounded spectra, Journal for Computational and Graphical Statistics, 10, No. 1, 112-134.
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