Recompute Covariance Estimate for fracdiff
Usage
fracdiff.var(x, fracdiff.out, h)
Arguments
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.
|
Description
Allows the finite-difference interval to be altered for recomputation of the
covariance estimate for fracdiff
.Value
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
.See Also
fracdiff
Examples
# 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)