[R] Time Series - Long Memory Estimation

From: Fotis Papailias <fpapailias_at_gmail.com>
Date: Mon, 21 Jul 2008 12:43:29 +0100

Dear R-Users,

I am doing a research on Time Series, especially on the estimation of the fractional exponent in long memory time series (for those who know).

However there are three estimators already built-in the fracdiff package (GPH, Sperio, MLE)
I was wondering if there is someone who had used an estimation introduced by P.M. Robinson (related paper: "Log-Periodogram regression of time series with long range dependence", 1995, The Annals of Statistics, Vol. 23, p. 1048 - 1072)
The estimator is similar to GPH and Sperio based on the periodogram.

Thank you in advance,

Fotis

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