Re: [R] How to obtain the series of residuals from fracdiff

From: Susana Barbosa (susanabarbosa@novalis.fc.up.pt)
Date: Mon 14 Jan 2002 - 04:14:55 EST

• Next message: Renaud Lancelot: "[R] weighted regression: Osius & Rojek's test for logistic regression models"
• Previous message: David Marimont: "[R] changing the ordering of leaves in a dendrogram"
• In reply to: Adrian Trapletti: "[R] How to obtain the series of residuals from fracdiff"

Message-id: <200201131715.RAA08718@gtfirewall.fc.up.pt>

Dear Adrian

Thank you very much for your help.
It worked!

Thanks

Susana

>
> Hi Susana
>
> For fractional differencing you can use, e.g., something like
>
> fracdiff <- function (x, d, N = 100)
> {
> n <- 0:N
> w <- gamma(-d+n)/(gamma(-d)*gamma(n+1))
> y <- filter(x, w, sides=1)
> return (y)
> }
>
> Adrian

-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-.-
r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !) To: r-help-request@stat.math.ethz.ch
_._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._._

• Next message: Renaud Lancelot: "[R] weighted regression: Osius & Rojek's test for logistic regression models"
• Previous message: David Marimont: "[R] changing the ordering of leaves in a dendrogram"
• In reply to: Adrian Trapletti: "[R] How to obtain the series of residuals from fracdiff"

This archive was generated by hypermail 2.1.3 : Thu 17 Jan 2002 - 11:10:11 EST