| diffseries {fracdiff} | R Documentation |
Differenciates the time series data using the approximated binomial expression of the long-memory filter and an estimate of the memory parameter in the ARFIMA(p,d,q) model.
diffseries(x, d)
x |
numeric vector or univariate time series |
.
d |
number specifiying the fractional difference order. |
the fractionally differenced series x.
Valderio A. Reisen valderio@cce.ufes.br and Artur J. Lemonte
See those in fdSperio; additionally
Reisen, V. A. and Lopes, S. (1999) Some simulations and applications of forecasting long-memory time series models; Journal of Statistical Planning and Inference 80, 269–287.
Reisen, V. A. Cribari-Neto, F. and Jensen, M.J. (2003) Long Memory Inflationary Dynamics. The case of Brazil. Studies in Nonlinear Dynamics and Econometrics 7(3), 1–16.
memory.long <- fracdiff.sim(80, d = 0.3) mGPH <- fdGPH(memory.long$series) r <- diffseries(memory.long$series, d = mGPH$d) #acf(r) # shouldn't show structure - ideally