Long Memory Time Series

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Documentation for package ‘LongMemoryTS’ version 0.1.0

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LongMemoryTS-package LongMemoryTS: Long Memory Time Series
ARRLS.sim Simulation of Autoregressive Random Level Shift processes.
cross.Peri Cross periodogram of vector valued time series X and Y
ddiffw Helper function that returns AR-representation of FI(d)-process.
ELW Exact local Whittle estimator of the fractional difference parameter d for stationary and non-stationary long memory.
ELW2S Two-Step Exact local Whittle estimator of fractional integration with unknown mean and time trend.
F.hat Empirical cummulative spectral distribution function
fBM Fractional Brownian Motion / Bridge of Type I or II.
FCI_CH03 Rank estimation in fractionally cointegrated systems.
FCI_CH06 Residual-based test for fractional cointegration (Chen, Hurvich (2006))
FCI_MV04 Test for fractional cointegration (Marmol, Velasco (2004))
FCI_N10 Nonparametric test for fractional cointegration (Nielsen (2010))
FCI_NS07 Rank estimation in fractionally cointegrated systems by Nielsen, Shimotsu (2007).
FCI_R08 Hausman-type test for fractional cointegration (Robinson (2008))
FCI_SRFB18 Frequency-domain test for fractional cointegration (Souza, Reise, Franco, Bondon (2018))
FCI_WWC15 Semiparametric test for fractional cointegration (Wang, Wang, Chan (2015))
FCI_ZRY18 Rank estimation in fractionally cointegrated systems (Zhang, Robinson, Yao (2018))
fdiff Fast fractional differencing procedure of Jensen and Nielsen (2014).
FDLS Narrow band estimation of the cointegrating vector.
FI.sim Simulate multivariate fractional white noise.
FMNBLS Fully Modified Narrow Band Least Squares (FMNBLS) estimation of the cointegrating vector.
G.hat Estimation of G matrix for multivariate long memory processes.
gph GPH estimator of fractional difference parameter d.
GSE Multivariate local Whittle estimation of long memory parameters.
GSE_coint Multivariate local Whittle estimation of long memory parameters and cointegrating vector.
Hou.Perron Modified local Whittle estimator of fractional difference parameter d.
ll.VARFIMA Log-likelihood function of a VARFIMA(1,1) in final equations form.
local.W Local Whittle estimator of fractional difference parameter d.
LongMemoryTS LongMemoryTS: Long Memory Time Series
LPWN Local polynomial Whittle plus noise estimator
McC.Perron GPH estimation of long memory parameter robust to low frequency contaminations.
MLWS MLWS test for multivariate spurious long memory.
partition.X Automated partitioning of estimated vector of long memory parameters into subvectors with equal memory.
Peri Multivariate Periodogram.
pre.White Pre-whitening for application of semiparametric long memory estimator.
Qu.test Qu test for true long memory against spurious long memory.
rank.est Cointegration Rank Estimation using Model Selection.
T.rho Test for equality of all elements in an estimated d-vector based on pairwise comparisons.
T0stat Test for equality of all elements in an estimated d-vector based.
VARFIMA.est Maximum likelihood estimation of a VARFIMA(1,1) in final equations form.
VARFIMA.sim Simulation of a VARFIMA(1,1) in final equations form.
W_multi Helper function for MLWS test for multivariate spurious long memory.