fracdiff: fd-methods – R documentation

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fd-methods

Many Methods for "fracdiff" Objects

Description

Many “accessor” methods for fracdiff objects, notably summary, coef, vcov, and logLik; further print() methods were needed.

Usage

## S3 method for class 'fracdiff'
coef(object, ...)
## S3 method for class 'fracdiff'
logLik(object, ...)
## S3 method for class 'fracdiff'
print(x, digits = getOption("digits"), ...)
## S3 method for class 'fracdiff'
summary(object, symbolic.cor = FALSE, ...)
## S3 method for class 'summary.fracdiff'
print(x, digits = max(3, getOption("digits") - 3),
        correlation = FALSE, symbolic.cor = x$symbolic.cor,
        signif.stars = getOption("show.signif.stars"), ...)
## S3 method for class 'fracdiff'
fitted(object, ...)
## S3 method for class 'fracdiff'
residuals(object, ...)
## S3 method for class 'fracdiff'
vcov(object, ...)

Arguments

`x, object`	object of class `fracdiff`.
`digits`	the number of significant digits to use when printing.
`...`	further arguments passed from and to methods.
`correlation`	logical; if `TRUE`, the correlation matrix of the estimated parameters is returned and printed.
`symbolic.cor`	logical. If `TRUE`, print the correlations in a symbolic form (see `symnum`) rather than as numbers.
`signif.stars`	logical. If `TRUE`, “significance stars” are printed for each coefficient.

Author(s)

Martin Maechler; Rob Hyndman contributed the residuals() and fitted() methods.

Examples

set.seed(7)
ts4 <- fracdiff.sim(10000, ar = c(0.6, -.05, -0.2), ma = -0.4, d = 0.2)
modFD <- fracdiff( ts4$series, nar = length(ts4$ar), nma = length(ts4$ma))
## -> warning (singular Hessian) %% FIXME ???
coef(modFD) # the estimated parameters
vcov(modFD)
smFD <- summary(modFD)
smFD
coef(smFD) # gives the whole table
AIC(modFD) # AIC works because of the logLik() method
stopifnot(exprs = {

})

fracdiff

Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models

v1.5-1

GPL (>= 2)

Authors

Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch [ctb] (R port, <https://orcid.org/0000-0001-7278-1983>), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman [ctb] (residuals() & fitted(), <https://orcid.org/0000-0002-2140-5352>)

Initial release

2020-01-20