FEXPest {longmemo}R Documentation

Fractional EXP (FEXP) Model Estimator

Description

Computes Beran's Fractional EXP or ‘FEXP’ model estimator.

Usage

FEXPest(x, order.poly, pvalmax, verbose = FALSE)
## S3 method for class 'FEXP':
print(x, digits = getOption("digits"), ...)

Arguments

x numeric vector representing a time series.
order.poly integer specifying the maximal polynomial order that should be taken into account. order.poly = 0 is equivalent to a FARIMA(0,d,0) model.
pvalmax maximal P-value – the other iteration stopping criterion. Setting this to 1, will use order.poly alone.
verbose logical indicating if iteration output should be printed.
digits,... optional arguments for print method, see print.default.

Value

An object of class FEXP which is basically a list with components

call the function call.
n time series length length(x).
H the “Hurst” parameter which is simply (1-theta[2])/2.
coefficients numeric 4-column matrix as returned from summary.glm(), with estimate of the full parameter vector theta, its standard error estimates, t- and P-values, as from the glm(*, family = Gamma) fit.
order.poly the effective polynomial order used.
max.order.poly the original order.poly (argument).
early.stop logical indicating if order.poly is less than max.order.poly, i.e., the highest order polynomial terms were dropped because of a non-significant P-value.
freq, spec the Fourier frequencies omega_j and spectral estimate f(omega_j).
yper raw periodogram at Fourier frequencies I(omega_j).


There currently are a print and a plot method (see plot.FEXP) for objects of class "FEXP".

Author(s)

Martin Maechler, using Beran's “main program” in Beran(1994), p.234 ff

References

Beran, Jan (1993) Fitting long-memory models by generalized linear regression. Biometrika 80, 817–822.

Beran, Jan (1994). Statistics for Long-Memory Processes; Chapman & Hall.

See Also

plot.FEXP, ...

Examples

data(videoVBR)
(fE <- FEXPest(videoVBR, order = 3, pvalmax = .5))

[Package longmemo version 0.9-6 Index]