ELW {LongMemoryTS} | R Documentation |
ELW
implements the exact local Whittle estimator of
Shimotsu and Phillips (2005) that is consistent and asymptotically normal as long as
the optimization range is less than 9/2, so that it is possible to estimate the memory
of stationary as well as non-stationary processes.
ELW(data, m, mean.est = c("mean", "init", "weighted", "none"))
data |
data vector of length T. |
m |
bandwith parameter specifying the number of Fourier frequencies.
used for the estimation usually |
mean.est |
specifies the form of mean correction. One of |
Christian Leschinski
Shimotsu, K. and Phillips, P. C. B. (2005): Exact Local Whittle Estimation Of Fractional Integration. The Annals of Statistics, Vol. 33, No. 4, pp. 1890 - 1933
library(fracdiff)
T<-1000
d<-0.8
series<-cumsum(fracdiff.sim(T,d=(d-1))$series)
ts.plot(series)
ELW(series, m=floor(1+T^0.7))$d