FGN (version 2.0-12)

warfima: Whittle mle arfima

Description

Fit time series arfima model using Whittle approximate maximum likelihood estimation.

Usage

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

Arguments

z

vector of time series values

order

c(p,d,q), where is AR order, d is differencing, q is MA order

lmodel

type of hyperbolic decay model

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

LL

optimized value of Whittle approximate log-likelihood

convergence

convergence indicator

algorithm

optimization algorithm used, 1 for L-BFGS-B, 2 for Nelder-Mead, 3 for SANN

Examples

warfima(NileMin, lmodel="FGN")