W_multi {LongMemoryTS} | R Documentation |
Multivariate local Whittle Score type test for the null hypothesis of true long memory against the alternative of spurious long memory suggested by Sibbertsen, Leschinski and Holzhausen (2015).
W_multi(X, d_vec, m, epsilon, eta)
X |
data matrix |
d_vec |
estimated vector of memory parameters. |
m |
bandwith parameter specifying the number of Fourier frequencies used
for the estimation usually |
epsilon |
trimming parameter |
eta |
weight vector. |
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Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.