eigen_resids {LongMemoryTS} | R Documentation |
Calculates eigenvalues and eigenvectors of averaged periodogram. Generates cointegrating residuals with help of eigenvectors.
Description
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.
Usage
eigen_resids(X, diff_param = 1, m_peri)
eigen_resids(X, diff_param = 1, m_peri)
[Package LongMemoryTS version 0.1.0 Index]