| TSF {TSF} | R Documentation |
Fractionally differenced series for any value of d
Description
The function fdseries computes the fractional differenced series for any value of d i.e. positive or negetive.
Usage
fdseries(x, d)Arguments
x |
univariate time series |
d |
The orer of fractional differencing to be done |
Value
fdseries |
fractionally differenced series for both positive as well as negetive d |
Author(s)
Sandipan Samanta, Ranjit Kumar Paul and Dipankar Mitra
References
Papailias, F. and Dias, G. F. 2015. Forecasting long memory series subject to structural change: A two-stage approach. International Journal of Forecasting, 31, 1056 to 1066.
Wang, C. S. H., Bauwens, L. and Hsiao, C. 2013. Forecasting a long memory process subject to structural breaks. Journal of Econometrics, 177, 171-184.
Reisen, V. A. (1994) Estimation of the fractional difference parameter in the ARFIMA(p,d,q) model using the smoothed periodogram. Journal Time Series Analysis, 15(1), 335 to 350.
Examples
## Simulating Long Memory Series
N <- 1000
PHI <- 0.2
THETA <- 0.1
SD <- 1
M <- 0
D <- 0.2
Seed <- 123
set.seed(Seed)
Sim.Series <- fracdiff::fracdiff.sim(n = N, ar = c(PHI), ma = c(THETA),
d = D, rand.gen = rnorm, sd = SD, mu = M)
Xt <- as.ts(Sim.Series$series)
## fractional differencing
fdseries(Xt,d=D)