R: Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)

fdGPH {fracdiff} | R Documentation

## Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)

### Description

Estimate the fractional (or “memory”) parameter d in the ARFIMA(p,d,q) model by the method of Geweke and Porter-Hudak (GPH). The GPH estimator is based on the regression equation using the periodogram function as an estimate of the spectral density.

### Usage

    fdGPH(x, bandw.exp = 0.5)

### Arguments

`x` | univariate time series
`bandw.exp` | the bandwidth used in the regression equation

### Details

The function also provides the asymptotic standard deviation and the standard error deviation of the fractional estimator.

The bandwidth is `bw = trunc(n ^ bandw.exp)`, where 0 < bandw.exp < 1 and n is the sample size. Default `bandw.exp = 0.5`.

### Value

`d` | GPH estimate
`sd.as` | asymptotic standard deviation
`sd.reg` | standard error deviation

### Author(s)

Valderio A. Reisen and Artur J. Lemonte

### References

see those in `fdSperio`.

### See Also

`fdSperio`, `fracdiff`

### Examples

    memory.long <- fracdiff.sim(1500, d = 0.3)
    fdGPH(memory.long$series)

[Package fracdiff version 1.4-2 Index]