Computes the band-pass variance for fractional difference (FD) or seasonal persistent (SP) processes using numeric integration of their spectral density function.
bandpass.fdp(a, b, d)
bandpass.spp(a, b, d, fG)
bandpass.spp2(a, b, d1, f1, d2, f2)
bandpass.var.spp(delta, fG, J, Basis, Length)Band-pass variance for the FD or SP process between \(a\) and
\(b\).
Left-hand boundary for the definite integral.
Right-hand boundary for the definite integral.
Fractional difference parameter.
Gegenbauer frequency.
Depth of the wavelet transform.
Logical vector representing the adaptive basis.
Number of elements in Basis.
Brandon Whitcher
See references.
McCoy, E. J., and A. T. Walden (1996) Wavelet analysis and synthesis of stationary long-memory processes, Journal for Computational and Graphical Statistics, 5, No. 1, 26-56.
Whitcher, B. (2001) Simulating Gaussian stationary processes with unbounded spectra, Journal for Computational and Graphical Statistics, 10, No. 1, 112-134.