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\name{fdGPH}
\alias{fdGPH}
\title{Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)}
\description{
Estimate the fractional (or \dQuote{memory}) parameter \eqn{d} in the
ARFIMA(p,d,q) model by the method of Geweke and Porter-Hudak (GPH).
The GPH estimator is based on the regression equation using the
periodogram function as an estimate of the spectral density.
}
\usage{
fdGPH(x, bandw.exp = 0.5)
}
\arguments{
\item{x}{univariate time series}
\item{bandw.exp}{the bandwidth used in the regression equation}
}
\details{
The function also provides the asymptotic standard deviation and the standard
error deviation of the fractional estimator.
The bandwidth is
\code{bw = trunc(n ^ bandw.exp)}, where 0 < bandw.exp < 1 and n is the sample size.
Default \code{bandw.exp = 0.5}.
}
\value{
\item{d}{GPH estimate}
\item{sd.as}{asymptotic standard deviation}
\item{sd.reg}{standard error deviation}
}
\references{see those in \code{\link{fdSperio}}.
}
\author{Valderio A. Reisen and Artur J. Lemonte}
\seealso{\code{\link{fdSperio}}, \code{\link{fracdiff}}}
\examples{
memory.long <- fracdiff.sim(1500, d = 0.3)
fdGPH(memory.long$series)
}
\keyword{ts}
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