local.W {LongMemoryTS}

Local Whittle estimator of fractional difference parameter d.

Description

local.W Semiparametric local Whittle estimator for memory parameter d following Robinson (1995). Returns estimate and asymptotic standard error.

Usage

local.W(data, m, int = c(-0.5, 2.5), taper = c("none", "Velasco",
  "HC"), diff_param = 1, l = 1)

Arguments

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.

int

admissible range for d. Restricts the interval of the numerical optimization.

taper

string that is either "none", "Velasco", or "HC" and determines whether the standard local Whittle estimator of Robinson (1995), the tapered version of Velasco (1999), or the differenced and tapered estimator of Hurvich and Chen (2000) is used.

diff_param

integer specifying the order of differentiation for the estimator of Hurvich and Chen (2000). Default is diff_param=1.

l

integer that determines how many frequencies (l-1) are trimmed out if taper="none" is selected. Default is l=1.

References

Robinson, P. M. (1995): Gaussian Semiparametric Estimation of Long Range Dependence. The Annals of Statistics, Vol. 23, No. 5, pp. 1630 - 1661.

Velasco, C. (1999): Gaussian Semiparametric Estimation for Non-Stationary Time Series. Journal of Time Series Analysis, Vol. 20, No. 1, pp. 87-126.

Hurvich, C. M., and Chen, W. W. (2000): An Efficient Taper for Potentially Overdifferenced Long-Memory Time Series. Journal of Time Series Analysis, Vol. 21, No. 2, pp. 155-180.

Examples

library(fracdiff)
T<-1000
d<-0.4
series<-fracdiff.sim(n=T, d=d)$series
local.W(series,m=floor(1+T^0.65))