fdGPH                package:fracdiff                R Documentation

_G_e_w_e_k_e _a_n_d _P_o_r_t_e_r-_H_u_d_a_k _E_s_t_i_m_a_t_o_r _f_o_r _A_R_F_I_M_A(_p,_d,_q)

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

     Estimate the fractional (or "memory") parameter d in the
     ARFIMA(p,d,q) model by the method of Geweke and Porter-Hudak
     (GPH). The GPH estimator is based on the regression equation using
     the peridogram function as an estimate of the spectral density.

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

     fdGPH(x, bandw.exp = 0.5)

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

       x: univariate time series

bandw.exp: the bandwidth used in the regression equation

_D_e_t_a_i_l_s:

     The function also provides the asymptotic standard deviation and
     the standard error deviation of the fractional estimator.

     The bandwidth is 'bw = trunc(n ^ bandw.exp)', where 0 < bandw.exp
     < 1 and n is the sample size. Default 'bandw.exp = 0.5'.

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

       d: GPH estimate

   sd.as: asymptotic standard deviation

  sd.reg: standard error deviation

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

     Valderio A. Reisen and Artur J. Lemonte

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

     see those in 'fdSperio'.

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

     'fdSperio', 'fracdiff'

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

     memory.long <- fracdiff.sim(1500, d = 0.3)
     fdGPH(memory.long$series)

