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\name{fracdiff.var}
\alias{fracdiff.var}
\title{Recompute Covariance Estimate for fracdiff}
\usage{
fracdiff.var(x, fracdiff.out, h)
}
\arguments{
\item{x}{a univariate time series or a vector. Missing values (NAs)
are not allowed.}
\item{fracdiff.out}{output from \code{fracdiff} for time series \code{x}.}
\item{h}{finite-difference interval for approximating partial
derivatives with respect to the \code{d} parameter.}
}
\description{
Allows the finite-difference interval to be altered for recomputation of the
covariance estimate for \code{fracdiff}.
}
\value{
an object of S3 \code{\link{class}} \code{"fracdiff"}, i.e., basically
a list with the same elements as the result from
\code{\link{fracdiff}}, but with possibly different values for the
hessian, covariance, and correlation matrices and for standard error,
as well as for \code{h}.
}
\seealso{
\code{fracdiff}, also for references.
}
\examples{
## Generate a fractionally-differenced ARIMA(1,d,1) model :
ts.test <- fracdiff.sim(10000, ar = .2, ma = .4, d = .3)
## estimate the parameters in an ARIMA(1,d,1) model for the simulated series
fd.out <- fracdiff(ts.test$ser, nar= 1, nma = 1)
## Modify the covariance estimate by changing the finite-difference interval
(fd.o2 <- fracdiff.var(ts.test$series, fd.out, h = .0001))
## looks identical as print(fd.out),
## however these (e.g.) differ :
vcov(fd.out)
vcov(fd.o2)
## A case, were the default variance is *clearly* way too small:
set.seed(1); fdc <- fracdiff(X <- fracdiff.sim(n=100,d=0.25)$series)
fdc
# Confidence intervals just based on asymp.normal approx. and std.errors:
confint(fdc) # ridiculously too narrow
}
\keyword{ts}
|
