F.hat {LongMemoryTS}

Empirical cummulative spectral distribution function

Description

Calculates the empirical cummulative spectral distribution function from the cross periodogram of the vector valued time series X and Y.

Usage

F.hat(X, Y, k, l)

Arguments

X

data matrix.

Y

data matrix.

k

integer that determines the order number of the first Fourier frequency used.

l

integer that determines the order number of the last Fourier frequency used.

Examples

T<-500
d<-c(0.4, 0.2, 0.3)

data<-FI.sim(T, q=3, rho=0, d=d)
X<-data[,1:2]
Y<-data[,3]
F.hat(X, Y, 1, floor(T/2))