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earfima.Rd
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earfima.Rd
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\name{earfima}
\alias{earfima}
\title{Exact MLE for ARFIMA}
\description{
The time series is corrected for the sample mean and then exact MLE is
used for the other parameters.
}
\usage{
earfima(z, order = c(0, 0, 0), lmodel = c("FD", "FGN", "PLA", "NONE"))
}
\arguments{
\item{z}{time series}
\item{order}{(p,d,q) where p=order AR, d=regular difference, q=order MA}
\item{lmodel}{type of long-memory component: FD, FGN, PLA or NONE}
}
\details{The sample mean is asymptotically efficient.}
\value{
list with components:
\item{bHat}{transformed optimal parameters}
\item{alphaHat}{estimate of alpha}
\item{HHat}{estimate of H}
\item{dHat}{estimate of d}
\item{phiHat}{estimate of phi}
\item{thetaHat}{estimate of theta}
\item{wLL}{optimized value of Whittle approximate log-likelihood}
\item{LL}{corresponding exact log-likelihood}
\item{convergence}{convergence indicator}
}
\author{Justin Veenstra and A. I. McLeod}
\examples{
z <- rnorm(100)
earfima(z, lmodel="FGN")
}
\keyword{ ts}