arfima0 {arfima} | R Documentation |
The sample mean is asymptotically efficient.
arfima0(z, order = c(0, 0, 0), lmodel = c("FD", "FGN", "PLA", "NONE"))
z |
time series |
order |
(p,d,q) where p=order AR, d=regular difference, q=order MA |
lmodel |
type of long-memory component: FD, FGN, PLA or NONE |
list with components:
bHat |
transformed optimal parameters |
alphaHat |
estimate of alpha |
HHat |
estimate of H |
dHat |
estimate of d |
phiHat |
estimate of phi |
thetaHat |
estimate of theta |
wLL |
optimized value of Whittle approximate log-likelihood |
LL |
corresponding exact log-likelihood |
convergence |
convergence indicator |
JQ (Justin) Veenstra and A. I. McLeod
z <- rnorm(100) arfima0(z, lmodel="FGN")