pre.White {LongMemoryTS} | R Documentation |
Given a parameter vector theta
obtained using VARFIMA_est
,
pre.White
returns the pre-whitened sample.
pre.White(theta, data, q, approx = 100)
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 |
add details here.
Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.