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LongMemoryTS (version 0.1.0)

Long Memory Time Series

Description

Long Memory Time Series is a collection of functions for estimation, simulation and testing of long memory processes, spurious long memory processes and fractionally cointegrated systems.

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Install

install.packages('LongMemoryTS')

Monthly Downloads

268

Version

0.1.0

License

GPL-2

Maintainer

Christian Leschinski

Last Published

February 18th, 2019

Functions in LongMemoryTS (0.1.0)

FI.sim

Simulate multivariate fractional white noise.
Peri

Multivariate Periodogram.
G.hat.star.star

Modified complex-valued element of derivative of objective function in R08 accounting for non-equal memory.
VARFIMA.est

Maximum likelihood estimation of a VARFIMA(1,1) in final equations form.
av_peri

Averaged (tapered) periodogram. Only for internal use.
partition.X

Automated partitioning of estimated vector of long memory parameters into subvectors with equal memory.
R.LPWN

Objective function of LPWN estimator.
R.elw

concentrated likelihood function for ELW estimator
Tab

Test for equality of two elements d_a and d_b of estimated d vector. This function should not be called directly. It is called as a helper by T.rho.
Peri_sym

Periodogram for positive and negative Fourier frequencies.
FCI_NS07

Rank estimation in fractionally cointegrated systems by Nielsen, Shimotsu (2007).
FCI_R08

Hausman-type test for fractional cointegration (Robinson (2008))
FCI_SRFB18

Frequency-domain test for fractional cointegration (Souza, Reise, Franco, Bondon (2018))
F.tilde

helper function
ll.VARFIMA

Log-likelihood function of a VARFIMA(1,1) in final equations form.
H.hat

Real-valued element of derivative of objective function in R08.
peri_taper

Tapered periodogram. Only for internal use.
FCI_WWC15

Semiparametric test for fractional cointegration (Wang, Wang, Chan (2015))
beta_N

Beta estimation which is consistent in the spurious case and inconsistent under cointegration introduced by MV04.
ll_inner

calculate residuals
GSE_coint

Multivariate local Whittle estimation of long memory parameters and cointegrating vector.
H.hat.star

Modified complex-valued element of derivative of objective function in R08.
G.hat

Estimation of G matrix for multivariate long memory processes.
G_LPWN

Estimator of G using polynomial approximation.
FMNBLS

Fully Modified Narrow Band Least Squares (FMNBLS) estimation of the cointegrating vector.
FDLS

Narrow band estimation of the cointegrating vector.
J.M

Modified concentrated local Whittle likelihood. Only for internal use. cf. Hou and Perron (2014), p. 312.
FCI_ZRY18

Rank estimation in fractionally cointegrated systems (Zhang, Robinson, Yao (2018))
H.hat.star.star

Modified complex-valued element of derivative of objective function in R08 accounting for non-equal memory.
s.delta

Derivative of multivariate local Whittle objective function in R08.
wd.elw

Concentrated local Whittle likelihood. Only for internal use. cf. Shimotsu and Phillips (2005), p. ???.
gph

GPH estimator of fractional difference parameter d.
rank.est

Cointegration Rank Estimation using Model Selection.
LAMBDA_m

helper function
repcx

some comment
R.lw

Concentrated local Whittle likelihood. Only for internal use. cf. Robinson (1995), p. 1633.
R.elw.weighted

concentrated likelihood function for ELW estimator - weighted version
Hou.Perron

Modified local Whittle estimator of fractional difference parameter d.
McC.Perron

GPH estimation of long memory parameter robust to low frequency contaminations.
local.W

Local Whittle estimator of fractional difference parameter d.
G.hat.star

Modified complex-valued element of derivative of objective function in R08.
asymp_MV04

Critical values from MV04 paper, p.1831
PHI_lw

Scaling factor in the asymptotic variance. Only for internal use. Cf. Velasco (1999).
G_hat_cpp

Estimation of G matrix for multivariate long memory processes.
GSE

Multivariate local Whittle estimation of long memory parameters.
Slm

Correction factor for small sample standard errors
corr_ZRY

Correlation in ZRY18
cos_bell

Cosine Bell Taper
R_lw_ch

Local Whittle estimator for tapered periodogram - function to optimize
Phi_j

Modified version of Lambda in spectral density in R08
h_LPWN

Augmented spectral density function used in LPWN estimator.
ddiffw

Helper function that returns AR-representation of FI(d)-process.
G_hat_nonstat

Estimate G-matrix with periodogram of differenced data for NS07.
T.rho

Test for equality of all elements in an estimated d-vector based on pairwise comparisons.
Qu.test

Qu test for true long memory against spurious long memory.
R_d_multi_GSE

Profiled Likelihood for GSE
LongMemoryTS

LongMemoryTS: Long Memory Time Series
MLWS

MLWS test for multivariate spurious long memory.
local_W_taper

Local Whittle estimator for tapered periodogram
T0stat

Test for equality of all elements in an estimated d-vector based.
W_multi

Helper function for MLWS test for multivariate spurious long memory.
LPWN

Local polynomial Whittle plus noise estimator
R_d_multi_GSE_coint

Profiled Likelihood for GSE under Cointegration
cos_bell_cmplx

Complex Cosine Bell Taper
cross.Peri

Cross periodogram of vector valued time series X and Y
Lambda_j

Calculate matrix Lambda_j(d) as part of the spectral density
crit_N10

Simulated critical values for N10, memory in (0.51,1.49), dim_series<13, d1=0.1
poly_LPWN

Polynomial function used for approximation of short memory terms and noise dynamics.
pre.White

Pre-whitening for application of semiparametric long memory estimator.
R.lw.hc

Concentrated local Whittle likelihood of differenced and tapered estimator of Hurvich and Chen (2000). Only for internal use.
cross_Peri

Cross periodogram for variance estimation in MV04.
R.lw.tapered

Concentrated local Whittle likelihood for tapered estimate. Only for internal use. Cf. Velasco (1999).
VARFIMA.sim

Simulation of a VARFIMA(1,1) in final equations form.
V_M

Variance for test statistic MV04.
eigen_resids

Calculates eigenvalues and eigenvectors of averaged periodogram. Generates cointegrating residuals with help of eigenvectors.
elW_wrap

Helper for memory estimation.
fdiff

Fast fractional differencing procedure of Jensen and Nielsen (2014).
cumsumcpp

some comment
invert

Armadillo has trouble inverting complex matrices. This is circumvented by this function.
fBM

Fractional Brownian Motion / Bridge of Type I or II.
simone

some comment
simMLWS

simulate limit distribution of test statistic
lW_wrap

Helper for local Whittle estimation.
FCI_CH06

Residual-based test for fractional cointegration (Chen, Hurvich (2006))
FCI_CH03

Rank estimation in fractionally cointegrated systems.
FCI_MV04

Test for fractional cointegration (Marmol, Velasco (2004))
FCI_N10

Nonparametric test for fractional cointegration (Nielsen (2010))
ELW

Exact local Whittle estimator of the fractional difference parameter d for stationary and non-stationary long memory.
ARRLS.sim

Simulation of Autoregressive Random Level Shift processes.
B

B matrix in asymptotic distribution.
F.hat

Empirical cummulative spectral distribution function
ELW2S

Two-Step Exact local Whittle estimator of fractional integration with unknown mean and time trend.