The spectral density function is evaluated at the Fourier frequencies, k/n, k=1,...,[n/2], for FD (fractionally differenced white noise).
● Data Source:
CranContrib
● Keywords: ts
● Alias: sdfFD
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Computes the spectral density function for the FGN model with parameter H at the Fourier frequencies, 2*Pi*j/n, j=1,...,[n/2], where n is the length of the time series. The evaluation is very fast since bivariate interpolation is used.
● Data Source:
CranContrib
● Keywords: ts
● Alias: sdfFGN
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The autocovariance function is computed for the power-law autocorrelation time series model.
● Data Source:
CranContrib
● Keywords: ts
● Alias: acvfPLA
●
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Exact maximum likelihood estimation of the decay parameter a in PLA model. In this model a=alpha.
● Data Source:
CranContrib
● Keywords: ts
● Alias: GetFitPLA
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FitRegressionFGN
(Package: FGN) :
Regression with FGN Errors
Fits a multiple linear regression with FGN errors
● Data Source:
CranContrib
● Keywords: nonlinear, regression, ts
● Alias: FitRegressionFGN
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plot.FitFGN
(Package: FGN) :
Plot Method for "FitFGN" Object
Diagnostic plots of the residual autocorrelations and Ljung-Box test.
● Data Source:
CranContrib
● Keywords: ts
● Alias: plot.FitFGN
●
1 images
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Boot.FitFGN
(Package: FGN) :
Simulate Fitted FGN Model
Simulate a realization from a fitted AR model. This is useful in the parametric bootstrap. Generic function for "Boot" method.
● Data Source:
CranContrib
● Keywords: ts
● Alias: Boot.FitFGN
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SimulateFD
(Package: FGN) :
Simulates FD
A fractional Gaussian noise time series is simulated.
● Data Source:
CranContrib
● Keywords: datagen, ts
● Alias: SimulateFD
●
1 images
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acvfFGN
(Package: FGN) :
Autocovariance of FGN
The FGN time series is an example of a time series exhibiting long-range dependence and characterized by the fact that its autocorrelation function exhibits hyperbolic decay rather than exponential decay found in stationary ARMA time series. The FGN and other alternatives are discussed in Hipel and McLeod (2005).
● Data Source:
CranContrib
● Keywords: ts
● Alias: acvfFGN
●
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HurstK
(Package: FGN) :
Hurst K Coefficient
The Hurst K provides a non-parametric estimate for the Hurst H coefficient
● Data Source:
CranContrib
● Keywords: nonparametric, ts
● Alias: HurstK
●
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