Long Memory Time Series
Modified local Whittle estimator of fractional difference parameter d.
Armadillo has trouble inverting complex matrices. This is circumvented...
Modified concentrated local Whittle likelihood. Only for internal use....
Calculate matrix Lambda_j(d) as part of the spectral density
helper function
Log-likelihood function of a VARFIMA(1,1) in final equations form.
calculate residuals
Fully Modified Narrow Band Least Squares (FMNBLS) estimation of the co...
Estimation of G matrix for multivariate long memory processes.
Modified complex-valued element of derivative of objective function in...
Modified complex-valued element of derivative of objective function in...
Estimation of G matrix for multivariate long memory processes.
Estimate G-matrix with periodogram of differenced data for NS07.
Estimator of G using polynomial approximation.
GPH estimator of fractional difference parameter d.
Multivariate local Whittle estimation of long memory parameters.
Multivariate local Whittle estimation of long memory parameters and co...
Real-valued element of derivative of objective function in R08.
Modified complex-valued element of derivative of objective function in...
Modified complex-valued element of derivative of objective function in...
Augmented spectral density function used in LPWN estimator.
Simulation of Autoregressive Random Level Shift processes.
Critical values from MV04 paper, p.1831
Averaged (tapered) periodogram. Only for internal use.
B matrix in asymptotic distribution.
Beta estimation which is consistent in the spurious case and inconsist...
Correlation in ZRY18
Cosine Bell Taper
Complex Cosine Bell Taper
Simulated critical values for N10, memory in (0.51,1.49), dim_series<1...
Cross periodogram of vector valued time series X and Y
Cross periodogram for variance estimation in MV04.
some comment
Helper function that returns AR-representation of FI(d)-process.
Calculates eigenvalues and eigenvectors of averaged periodogram. Gener...
Exact local Whittle estimator of the fractional difference parameter d...
Helper for memory estimation.
Two-Step Exact local Whittle estimator of fractional integration with ...
Empirical cummulative spectral distribution function
helper function
Fractional Brownian Motion / Bridge of Type I or II.
Rank estimation in fractionally cointegrated systems.
Residual-based test for fractional cointegration (Chen, Hurvich (2006)...
Test for fractional cointegration (Marmol, Velasco (2004))
Nonparametric test for fractional cointegration (Nielsen (2010))
Rank estimation in fractionally cointegrated systems by Nielsen, Shimo...
Hausman-type test for fractional cointegration (Robinson (2008))
Frequency-domain test for fractional cointegration (Souza, Reise, Fran...
Semiparametric test for fractional cointegration (Wang, Wang, Chan (20...
Rank estimation in fractionally cointegrated systems (Zhang, Robinson,...
Fast fractional differencing procedure of Jensen and Nielsen (2014).
Narrow band estimation of the cointegrating vector.
Simulate multivariate fractional white noise.
Local Whittle estimator of fractional difference parameter d.
Local Whittle estimator for tapered periodogram
LongMemoryTS: Long Memory Time Series
Local polynomial Whittle plus noise estimator
Helper for local Whittle estimation.
GPH estimation of long memory parameter robust to low frequency contam...
MLWS test for multivariate spurious long memory.
Automated partitioning of estimated vector of long memory parameters i...
Multivariate Periodogram.
Periodogram for positive and negative Fourier frequencies.
Tapered periodogram. Only for internal use.
Modified version of Lambda in spectral density in R08
Scaling factor in the asymptotic variance. Only for internal use. Cf. ...
Polynomial function used for approximation of short memory terms and n...
Pre-whitening for application of semiparametric long memory estimator.
Qu test for true long memory against spurious long memory.
concentrated likelihood function for ELW estimator
concentrated likelihood function for ELW estimator - weighted version
Objective function of LPWN estimator.
Concentrated local Whittle likelihood of differenced and tapered estim...
Concentrated local Whittle likelihood. Only for internal use. cf. Robi...
Concentrated local Whittle likelihood for tapered estimate. Only for i...
Profiled Likelihood for GSE
Profiled Likelihood for GSE under Cointegration
Local Whittle estimator for tapered periodogram - function to optimize
Cointegration Rank Estimation using Model Selection.
some comment
Derivative of multivariate local Whittle objective function in R08.
simulate limit distribution of test statistic
some comment
Correction factor for small sample standard errors
Test for equality of all elements in an estimated d-vector based on pa...
Test for equality of all elements in an estimated d-vector based.
Test for equality of two elements d_a and d_b of estimated d vector. T...
Variance for test statistic MV04.
Maximum likelihood estimation of a VARFIMA(1,1) in final equations for...
Simulation of a VARFIMA(1,1) in final equations form.
Helper function for MLWS test for multivariate spurious long memory.
Concentrated local Whittle likelihood. Only for internal use. cf. Shim...
Long Memory Time Series is a collection of functions for estimation, simulation and testing of long memory processes, spurious long memory processes and fractionally cointegrated systems.