Differenciates the time series data using
the approximated binomial expression of the long-memory filter and an estimate of
the memory parameter in the ARFIMA(p,d,q) model.
Usage
diffseries(x, d)
Arguments
x
numeric vector or univariate time series
d
number specifiying the fractional difference order.
Reisen, V. A. and Lopes, S. (1999)
Some simulations and applications
of forecasting long-memory time series models;
Journal of Statistical Planning and Inference80, 269--287.
Reisen, V. A. Cribari-Neto, F. and Jensen, M.J. (2003)
Long Memory Inflationary Dynamics. The case of Brazil.
Studies in Nonlinear Dynamics and Econometrics7(3), 1--16.
# NOT RUN {memory.long <- fracdiff.sim(80, d = 0.3)
mGPH <- fdGPH(memory.long$series)
r <- diffseries(memory.long$series, d = mGPH$d)
#acf(r) # shouldn't show structure - ideally# }