From: Fotis Papailias <fpapailias_at_gmail.com>

Date: Fri, 25 Jul 2008 19:24:03 +0100

Date: Fri, 25 Jul 2008 19:24:03 +0100

Dear R-users,

I am trying to translate a matlab code for calculating the Local Whittle
estimator in time series with long memory originally written by Shimotsu and
available free in his webpage (

http://www.econ.queensu.ca/pub/faculty/shimotsu/ )

The Matlab code is

function[r] = whittle(d,x,m)

% WHITTLE.M computes the local Whittle likelihood, which uses % the periodogram of data x accoding to the definition % % Ixx(k) = w(x)*conj(w(x)), % % where % N % w(k) = (2*pi*n)^(-1/2) sum x(t)*exp(i*2*pi*(k-1)*t/N), 1 <= k <= N. % t=1 % % Katsumi Shimotsu, April 1999 % % INPUT x: data (n*1 vector) % m: truncation number % d: parameter value %____________________________________________________________________________

[n,nn] = size(x);

t = (0:1:n-1)';

lambda = 2*pi*t/n;

wx = (2*pi*n)^(-1/2)*conj(fft(conj(x))).*exp(i*lambda);
lambda = lambda(2:m+1);

wx = wx(2:m+1);

Ix = wx.*conj(wx);

g = mean((lambda.^(2*d)).*Ix);

r = log(g) - 2*d*mean(log(lambda));

and when you want to use it, you just call the function, and you minimize it. (In other words you minimize the "r" expression on the last line above.)

I have done a lot efforts to translate it and I have ended up with the following :

which seems to run, but when I am trying to call the function and minimize it using:

e <- optimize(local.whittle, x, m, c(-0.5, 0.5)) e1 <- e$minimum

I get the following error and I cannot find the reason why.

Error in optimize(lw, x, m, c(-0.5, 0.5)) : invalid function value in 'optimize'

In addition: Warning messages: 1: In 2:M1 : numerical expression has 2 elements: only the first used 2: In 2:M1 : numerical expression has 2 elements: only the first used

=======================================================================================

Please help me.

thanks. fotis.

P.S.: as far as for a long memory estimator in time series introduced by Robinson (1995) that I was asking some days ago, I have written a code. Send me an e-mail if you need it, till I include it in some package.

-- fp [[alternative HTML version deleted]] ______________________________________________ R-help_at_r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.Received on Fri 25 Jul 2008 - 18:27:29 GMT

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