R: Recompute Covariance Estimate for fracdiff

fracdiff.var {fracdiff} | R Documentation

## Recompute Covariance Estimate for fracdiff

### Description

Allows the finite-difference interval to be altered for recomputation of the covariance estimate for `fracdiff`.

### Usage

    fracdiff.var(x, fracdiff.out, h)

### Arguments

`x` | a univariate time series or a vector. Missing values (NAs) are not allowed.
`fracdiff.out` | output from `fracdiff` for time series `x`.
`h` | finite-difference interval for approximating partial derivatives with respect to the `d` parameter.

### Value

an object of S3 `class` `"fracdiff"`, i.e., basically a list with the same elements as the result from `fracdiff`, but with possibly different values for the hessian, covariance, and correlation matrices and for standard error, as well as for `h`.

### See Also

`fracdiff`, also for references.

### Examples

    ## Generate a fractionally-differenced ARIMA(1,d,1) model :
    ts.test <- fracdiff.sim(10000, ar = .2, ma = .4, d = .3)
    ## estimate the parameters in an ARIMA(1,d,1) model for the simulated series
    fd.out <- fracdiff(ts.test$ser, nar= 1, nma = 1)

    ## Modify the covariance estimate by changing the finite-difference interval
    (fd.o2 <- fracdiff.var(ts.test$series, fd.out, h = .0001))
    ## looks identical as  print(fd.out),
    ## however these (e.g.) differ :
    vcov(fd.out)
    vcov(fd.o2)

[Package fracdiff version 1.4-2 Index]