ELW {LongMemoryTS}

Exact local Whittle estimator of the fractional difference parameter d for stationary and non-stationary long memory.

Description

ELW implements the exact local Whittle estimator of Shimotsu and Phillips (2005) that is consistent and asymptotically normal as long as the optimization range is less than 9/2, so that it is possible to estimate the memory of stationary as well as non-stationary processes.

Usage

ELW(data, m, mean.est = c("mean", "init", "weighted", "none"))

Arguments

data

data vector of length T.

m

bandwith parameter specifying the number of Fourier frequencies. used for the estimation usually floor(1+T^delta), where 0<delta<1.

mean.est

specifies the form of mean correction. One of c("mean","init","weighted","none").

Author(s)

Christian Leschinski

References

Shimotsu, K. and Phillips, P. C. B. (2005): Exact Local Whittle Estimation Of Fractional Integration. The Annals of Statistics, Vol. 33, No. 4, pp. 1890 - 1933

Examples

library(fracdiff)
T<-1000
d<-0.8
series<-cumsum(fracdiff.sim(T,d=(d-1))$series)
ts.plot(series)
ELW(series, m=floor(1+T^0.7))$d