fracdiff.var {fracdiff} | R Documentation |
Allows the finite-difference interval to be altered for recomputation of the
covariance estimate for fracdiff
.
fracdiff.var(x, fracdiff.out, h)
x |
a univariate time series or a vector. Missing values (NAs) are not allowed. |
fracdiff.out |
output from fracdiff for time series
x . |
h |
finite-difference interval for approximating partial
derivatives with respect to the d parameter. |
a list with the same elements as the output to fracdiff, but with
possibly different values for the hessian, covariance, and correlation
matrices and for standard error, as well as for h
.
fracdiff
# generate a fractionally-differenced ARIMA(1,d,1) # model given initial values ts.test <- fracdiff.sim( 10000, ar = .2, ma = .4, d = .3) # estimate the parameters in an ARIMA(1,d,1) # model for the simulated series fd.out <- fracdiff(ts.test$ser, nar=length(ts.test$ar), nma=length(ts.test$ma)) # modify the covariance estimate by changing the # finite-difference interval fracdiff.var(ts.test$series, fd.out, h = .0001)