eigen_resids

<p>Calculates eigenvalues and eigenvectors of averaged periodogram. 
Generates cointegrating residuals with help of eigenvectors.</p>
<p>Calculates eigenvalues and eigenvectors of averaged periodogram. 
Generates cointegrating residuals with help of eigenvectors.</p>

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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.

Christian Leschinski

LongMemoryTS

Long Memory Time Series

Michelle Voges

Kai Wenger

eigen_resids function

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

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

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

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