arfima: arfima0 – R documentation

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arfima0

Exact MLE for ARFIMA The time series is corrected for the sample mean and then exact MLE is used for the other parameters. This is a simplified version of the arfima() function that may be useful in simulations and bootstrapping.

Description

The sample mean is asymptotically efficient.

Usage

arfima0(z, order = c(0, 0, 0), lmodel = c("FD", "FGN", "PLA", "NONE"))

Arguments

`z`	time series
`order`	(p,d,q) where p=order AR, d=regular difference, q=order MA
`lmodel`	type of long-memory component: FD, FGN, PLA or NONE

Value

list with components:

`bHat`	transformed optimal parameters
`alphaHat`	estimate of alpha
`HHat`	estimate of H
`dHat`	estimate of d
`phiHat`	estimate of phi
`thetaHat`	estimate of theta
`wLL`	optimized value of Whittle approximate log-likelihood
`LL`	corresponding exact log-likelihood
`convergence`	convergence indicator

Author(s)

JQ (Justin) Veenstra and A. I. McLeod

Examples

z <- rnorm(100)
arfima0(z, lmodel="FGN")

arfima

Fractional ARIMA (and Other Long Memory) Time Series Modeling

v1.7-0

MIT + file LICENSE

Authors

JQ (Justin) Veenstra [aut, cre], A.I. McLeod [aut]

Initial release

2018-11-01