fdGPH: Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)
Description
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.
Usage
fdGPH(x, bandw.exp = 0.5)
Arguments
x
univariate time series
bandw.exp
the bandwidth used in the regression equation
Value
d
GPH estimate
sd.as
asymptotic standard deviation
sd.reg
standard error deviation
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.