fdiff {LongMemoryTS} | R Documentation |
Takes the d-th difference of the series.
fdiff(x, d)
x |
series to be differenced |
d |
memory parameter indicating order of the fractional difference. |
This code was first published on the university webpage of Morten Nielsen and is redistributed here with the author's permission.
Jensen, A. N. and Nielsen, M. O.
Jensen, A. N. and Nielsen, M. O. (2014): A fast fractional difference algorithm, Journal of Time Series Analysis 35(5), pp. 428-436.
acf(fdiff(x=rnorm(500), d=0.4))