[R] Time Series - Long Memory Estimation

From: Fotis Papailias <fpapailias_at_gmail.com>
Date: Mon, 21 Jul 2008 12:35:19 +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,



	[[alternative HTML version deleted]]

R-help_at_r-project.org mailing list
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
Received on Mon 21 Jul 2008 - 14:10:01 GMT

Archive maintained by Robert King, hosted by the discipline of statistics at the University of Newcastle, Australia.
Archive generated by hypermail 2.2.0, at Mon 21 Jul 2008 - 14:32:01 GMT.

Mailing list information is available at https://stat.ethz.ch/mailman/listinfo/r-help. Please read the posting guide before posting to the list.

list of date sections of archive