FEXPest {longmemo} | R Documentation |
Computes Beran's Fractional EXP or ‘FEXP’ model estimator.
FEXPest(x, order.poly, pvalmax, verbose = FALSE) ## S3 method for class 'FEXP': print(x, digits = getOption("digits"), ...)
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 . |
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"
.
Martin Maechler, using Beran's “main program” in Beran(1994), p.234 ff
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.
plot.FEXP
, ...
data(videoVBR) (fE <- FEXPest(videoVBR, order = 3, pvalmax = .5))