R: Fractionally Differenciate Data

diffseries {fracdiff} | R Documentation

## Fractionally Differenciate Data

### Description

Differenciates the time series data using the approximated binomial expression of the long-memory filter and an estimate of the memory parameter in the ARFIMA(p,d,q) model.

### Usage

    diffseries(x, d)

### Arguments

`x` | numeric vector or univariate time series

.

`d` | number specifiying the fractional difference order.

### Value

the fractionally differenced series `x`.

### Author(s)

Valderio A. Reisen valderio@cce.ufes.br and Artur J. Lemonte

### References

See those in `fdSperio`; additionally

Reisen, V. A. and Lopes, S. (1999) Some simulations and applications of forecasting long-memory time series models; Journal of Statistical Planning and Inference 80, 269–287.

Reisen, V. A. Cribari-Neto, F. and Jensen, M.J. (2003) Long Memory Inflationary Dynamics. The case of Brazil. Studies in Nonlinear Dynamics and Econometrics 7(3), 1–16.

### See Also

`fracdiff.sim`

### Examples

    memory.long <- fracdiff.sim(80, d = 0.3)
    mGPH <- fdGPH(memory.long$series)
    r <- diffseries(memory.long$series, d = mGPH$d)
    #acf(r) # shouldn't show structure - ideally

[Package fracdiff version 1.4-2 Index]