diffseries             package:fracdiff             R Documentation

_F_r_a_c_t_i_o_n_a_l_l_y _D_i_f_f_e_r_e_n_c_i_a_t_e _D_a_t_a

_D_e_s_c_r_i_p_t_i_o_n:

     Differenciates the time series data using the approximated
     binomial expression of the long-memory filter and an estimate of
     the memory parameter in the ARFIMA(p,d,q) model.

_U_s_a_g_e:

     diffseries(x, d)

_A_r_g_u_m_e_n_t_s:

       x: numeric vector or univariate time series

       d: number specifiying the fractional difference order.

_V_a_l_u_e:

     the fractionally differenced series 'x'.

_A_u_t_h_o_r(_s):

     Valderio A. Reisen valderio@cce.ufes.br and Artur J. Lemonte

_R_e_f_e_r_e_n_c_e_s:

     See those in 'fdSperio'; additionally

     Reisen, V. A. and Lopes, S. (1999) Some simulations and
     applications of forecasting long-memory time series  models;
     _Journal of Statistical Planning and Inference_ *80*, 269-287.

     Reisen, V. A. Cribari-Neto, F. and Jensen, M.J. (2003) Long Memory
     Inflationary Dynamics. The case of Brazil. _Studies in Nonlinear
     Dynamics and Econometrics_ *7*(3), 1-16.

_S_e_e _A_l_s_o:

     'fracdiff.sim'

_E_x_a_m_p_l_e_s:

     memory.long <- fracdiff.sim(80, d = 0.3)
     mGPH <- fdGPH(memory.long$series)
     r <- diffseries(memory.long$series, d = mGPH$d)
     #acf(r) # shouldn't show structure - ideally

