G_hat_cpp function

Estimation of G matrix for multivariate long memory processes.

G.hat Estimates the matrix G of a multivariate long memory process based on an estimate of the vector of memory parameters. The assumed spectral density is that of Shimotsu (2007).

G_hat_cpp(peri, Lambda_cube, d_vec, m, l, q)

Arguments

• peri: cube containing the periodogram of the multivariate process X.
• Lambda_cube: cube containing the Lambda matrices.
• d_vec: q-dimensional data vector.
• m: bandwith parameter specifying the number of Fourier frequencies used for the estimation usually floor(1+T^delta), where 0<delta<1.
• q: dimension of the process.

References

Shimotsu, K. (2007): Gaussian semiparametric estimation of multivariate fractionally integrated processes. Journal of Econometrics, Vol. 137, No. 2, pp. 277 - 310.