| fracdiff.var(fracdiff) | R Documentation |
Allows the finite-difference interval to be altered for recomputation of the
covariance estimate for fracdiff.
fracdiff.var(x, fracdiff.out, h)
x |
a univariate time series or a vector. Missing values (NAs) are not allowed. |
fracdiff.out |
output from fracdiff for time series
x. |
h |
finite-difference interval for approximating partial
derivatives with respect to the d parameter. |
a list with the same elements as the output to fracdiff, but with
possibly different values for the hessian, covariance, and correlation
matrices and for standard error, as well as for h.
fracdiff
# generate a fractionally-differenced ARIMA(1,d,1)
# model given initial values
ts.test <- fracdiff.sim( 10000, ar = .2, ma = .4, d = .3)
# estimate the parameters in an ARIMA(1,d,1)
# model for the simulated series
fd.out <- fracdiff(ts.test$ser, nar=length(ts.test$ar),
nma=length(ts.test$ma))
# modify the covariance estimate by changing the
# finite-difference interval
fracdiff.var(ts.test$series, fd.out, h = .0001)