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)