# Long Memory Time Series

## Documentation for package ‘LongMemoryTS’ version 0.1.0

- DESCRIPTION file.

## Help Pages

LongMemoryTS-package | LongMemoryTS: Long Memory Time Series
ARRLS.sim | Simulation of Autoregressive Random Level Shift processes.
cross.Peri | Cross periodogram of vector valued time series X and Y
ddiffw | Helper function that returns AR-representation of FI(d)-process.
ELW | Exact local Whittle estimator of the fractional difference parameter d for stationary and non-stationary long memory.
ELW2S | Two-Step Exact local Whittle estimator of fractional integration with unknown mean and time trend.
F.hat | Empirical cummulative spectral distribution function
fBM | Fractional Brownian Motion / Bridge of Type I or II.
FCI_CH03 | Rank estimation in fractionally cointegrated systems.
FCI_CH06 | Residual-based test for fractional cointegration (Chen, Hurvich (2006))
FCI_MV04 | Test for fractional cointegration (Marmol, Velasco (2004))
FCI_N10 | Nonparametric test for fractional cointegration (Nielsen (2010))
FCI_NS07 | Rank estimation in fractionally cointegrated systems by Nielsen, Shimotsu (2007).
FCI_R08 | Hausman-type test for fractional cointegration (Robinson (2008))
FCI_SRFB18 | Frequency-domain test for fractional cointegration (Souza, Reise, Franco, Bondon (2018))
FCI_WWC15 | Semiparametric test for fractional cointegration (Wang, Wang, Chan (2015))
FCI_ZRY18 | Rank estimation in fractionally cointegrated systems (Zhang, Robinson, Yao (2018))
fdiff | Fast fractional differencing procedure of Jensen and Nielsen (2014).
FDLS | Narrow band estimation of the cointegrating vector.
FI.sim | Simulate multivariate fractional white noise.
FMNBLS | Fully Modified Narrow Band Least Squares (FMNBLS) estimation of the cointegrating vector.
G.hat | Estimation of G matrix for multivariate long memory processes.
gph | GPH estimator of fractional difference parameter d.
GSE | Multivariate local Whittle estimation of long memory parameters.
GSE_coint | Multivariate local Whittle estimation of long memory parameters and cointegrating vector.
Hou.Perron | Modified local Whittle estimator of fractional difference parameter d.
ll.VARFIMA | Log-likelihood function of a VARFIMA(1,1) in final equations form.
local.W | Local Whittle estimator of fractional difference parameter d.
LongMemoryTS | LongMemoryTS: Long Memory Time Series
LPWN | Local polynomial Whittle plus noise estimator
McC.Perron | GPH estimation of long memory parameter robust to low frequency contaminations.
MLWS | MLWS test for multivariate spurious long memory.
partition.X | Automated partitioning of estimated vector of long memory parameters into subvectors with equal memory.
Peri | Multivariate Periodogram.
pre.White | Pre-whitening for application of semiparametric long memory estimator.
Qu.test | Qu test for true long memory against spurious long memory.
rank.est | Cointegration Rank Estimation using Model Selection.
T.rho | Test for equality of all elements in an estimated d-vector based on pairwise comparisons.
T0stat | Test for equality of all elements in an estimated d-vector based.
VARFIMA.est | Maximum likelihood estimation of a VARFIMA(1,1) in final equations form.
VARFIMA.sim | Simulation of a VARFIMA(1,1) in final equations form.
W_multi | Helper function for MLWS test for multivariate spurious long memory.