FracDiff {FCVAR} | R Documentation |
Fast Fractional Differencing
Description
FracDiff
is a fractional differencing procedure based on the
fast fractional difference algorithm of Jensen & Nielsen (2014).
Usage
FracDiff(x, d)
Arguments
x |
A matrix of variables to be included in the system. |
d |
The order of fractional differencing. |
Value
A vector or matrix dx
equal to (1-L)^d x
of the same dimensions as x.
Note
This function differs from the diffseries
function
in the fracdiff
package, in that the diffseries
function demeans the series first.
In particular, the difference between the out put of the function calls
FCVAR::FracDiff(x - mean(x), d = 0.5)
and fracdiff::diffseries(x, d = 0.5)
is numerically small.
References
Jensen, A. N. and M. Ø. Nielsen (2014). "A fast fractional difference algorithm," Journal of Time Series Analysis 35, 428-436.
See Also
FCVARoptions
to set default estimation options.
FCVARestn
calls GetParams
, which calls TransformData
to estimate the FCVAR model.
TransformData
in turn calls FracDiff
and Lbk
to perform the transformation.
Other FCVAR auxiliary functions:
FCVARforecast()
,
FCVARlikeGrid()
,
FCVARsimBS()
,
FCVARsim()
,
plot.FCVAR_grid()
Examples
set.seed(42)
WN <- matrix(stats::rnorm(200), nrow = 100, ncol = 2)
MVWNtest_stats <- MVWNtest(x = WN, maxlag = 10, printResults = 1)
x <- FracDiff(x = WN, d = - 0.5)
MVWNtest_stats <- MVWNtest(x = x, maxlag = 10, printResults = 1)
WN_x_d <- FracDiff(x, d = 0.5)
MVWNtest_stats <- MVWNtest(x = WN_x_d, maxlag = 10, printResults = 1)