fdGPH function

Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)

Estimate the fractional (or memory ) parameter $d$ 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.

fdGPH(x, bandw.exp = 0.5)

Arguments

• x: univariate time series
• 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 bw = trunc(n ^ bandw.exp), where 0 < bandw.exp < 1 and n is the sample size. Default bandw.exp = 0.5.

Returns

• d: GPH estimate

• sd.as: asymptotic standard deviation

• sd.reg: standard error deviation

References

see those in fdSperio.

Author(s)

Valderio A. Reisen and Artur J. Lemonte

See Also

fdSperio, fracdiff

Examples

memory.long <- fracdiff.sim(1500, d = 0.3)
fdGPH(memory.long$series)