Long Memory Time Series

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Documentation for package ‘LongMemoryTS’ version 0.1.0

• DESCRIPTION file.

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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.