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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)