pre.White {LongMemoryTS}

Pre-whitening for application of semiparametric long memory estimator.

Description

Given a parameter vector theta obtained using VARFIMA_est, pre.White returns the pre-whitened sample.

Usage

pre.White(theta, data, q, approx = 100)

Arguments

theta

estimated parameter vector.

data

data matrix with T observations of q-dimensional process.

q

dimension of the process.

approx

order of the AR-approximation that is supposed to be used. Default is approx=100.

Details

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References

Sibbertsen, P., Leschinski, C. H., Holzhausen, M., (2015): A Multivariate Test Against Spurious Long Memory. Hannover Economic Paper.