R: Bandpass Variance for Long-Memory Processes

Band-pass variance {waveslim} | R Documentation

## Bandpass Variance for Long-Memory Processes

### Description

Computes the band-pass variance for fractional difference (FD) or seasonal persistent (SP) processes using numeric integration of their spectral density function.

### Usage

    bandpass.fdp(a, b, d)
    bandpass.spp(a, b, d, fG)
    bandpass.spp2(a, b, d1, f1, d2, f2)
    bandpass.var.spp(delta, fG, J, Basis, Length)

### Arguments

`a` | Left-hand boundary for the definite integral.
`b` | Right-hand boundary for the definite integral.
`d,delta,d1,d2` | Fractional difference parameter.
`fG,f1,f2` | Gegenbauer frequency.
`J` | Depth of the wavelet transform.
`Basis` | Logical vector representing the adaptive basis.
`Length` | Number of elements in Basis.

### Details

See references.

### Value

Band-pass variance for the FD or SP process between a and b.

### Author(s)

Brandon Whitcher

### References

McCoy, E. J., and A. T. Walden (1996) Wavelet analysis and synthesis of stationary long-memory processes, Journal for Computational and Graphical Statistics, 5, No. 1, 26-56.

Whitcher, B. (2001) Simulating Gaussian stationary processes with unbounded spectra, Journal for Computational and Graphical Statistics, 10, No. 1, 112-134.

[Package waveslim version 1.8.2 Index]