Recompute Covariance Estimate for arima.fracdiff

DESCRIPTION:

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

USAGE:

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

REQUIRED ARGUMENTS:

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

VALUE:

a list with the same elements as the output to arima.fracdiff, but with possibly different values for components var.coef and h.

SEE ALSO:

EXAMPLES:

# generate a fractionally-differenced ARIMA(1,d,1) model given initial values 
ts.sim <- arima.fracdiff.sim(model = list(d = .3, ar = .2, ma = .4), n = 3000) 
# estimate the parameters in an ARIMA(1,d,1) model for the simulated series 
fd.out <- arima.fracdiff(ts.sim, model = list(ar = NA, ma = NA))  
# modify the covariance estimate by changing the finite-difference interval 
arima.fracdiff.var(ts.sim, fd.out, h = .0001)