Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Library: times
See also: robwhittle lo kpss rvlm lobrob roblm pgram

Macro: gph
Description: Estimation of the degree of long memory of a time series by using a log-periodogram regression

Reference(s):

Usage: d = gph(x)
Input:
x vector
Output:
d scalar

Example:
;estimation of the degree of long-memory of the volatility by spectral regression
library("times")
x = read("dmus58.dat")
y = abs(tdiff(x))       
d = gph(y)
d
Result:

Contents of d
[1,]  0.53257 

Library: times
See also: robwhittle lo kpss rvlm lobrob roblm pgram

Keywords - Function groups - @ A B C D E F G H I J K L M N O P Q R S T U V W X Y Z

Author: Gilles Teyssiere, 980424
(C) MD*TECH Method and Data Technologies, 28.6.1999