eigen_resids {LongMemoryTS} | R Documentation |
Calculates eigenvalues and eigenvectors of averaged periodogram. Generates cointegrating residuals with help of eigenvectors.
Calculates eigenvalues and eigenvectors of averaged periodogram. Generates cointegrating residuals with help of eigenvectors.
eigen_resids(X, diff_param = 1, m_peri)
eigen_resids(X, diff_param = 1, m_peri)