Package: LongMemoryTS 0.1.0

LongMemoryTS: Long Memory Time Series

Long Memory Time Series is a collection of functions for estimation, simulation and testing of long memory processes, spurious long memory processes and fractionally cointegrated systems.

Authors:Christian Leschinski [aut, cre], Michelle Voges [ctb], Kai Wenger [ctb]

LongMemoryTS_0.1.0.tar.gz
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LongMemoryTS.pdf |LongMemoryTS.html✨
LongMemoryTS/json (API)

# Install 'LongMemoryTS' in R:
install.packages('LongMemoryTS', repos = c('https://funwithr.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/funwithr/longmemoryts/issues

Uses libs:
  • openblas– Optimized BLAS
  • c++– GNU Standard C++ Library v3

On CRAN:

91 exports 2 stars 1.11 score 12 dependencies 1 dependents 42 scripts 336 downloads

Last updated 6 years agofrom:0ffefadd5e. Checks:OK: 7 NOTE: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKSep 01 2024
R-4.5-win-x86_64NOTESep 01 2024
R-4.5-linux-x86_64NOTESep 01 2024
R-4.4-win-x86_64OKSep 01 2024
R-4.4-mac-x86_64OKSep 01 2024
R-4.4-mac-aarch64OKSep 01 2024
R-4.3-win-x86_64OKSep 01 2024
R-4.3-mac-x86_64OKSep 01 2024
R-4.3-mac-aarch64OKSep 01 2024

Exports:ARRLS.simasymp_MV04av_periBbeta_Ncorr_ZRYcos_bellcos_bell_cmplxcrit_N10cross_Pericross.Pericumsumcppddiffweigen_residsELWelW_wrapELW2SF.hatF.tildefBMFCI_CH03FCI_CH06FCI_MV04FCI_N10FCI_NS07FCI_R08FCI_SRFB18FCI_WWC15FCI_ZRY18fdiffFDLSFI.simFMNBLSG_hat_cppG_hat_nonstatG_LPWNG.hatG.hat.starG.hat.star.stargphGSEGSE_cointh_LPWNH.hatH.hat.starH.hat.star.starHou.PerroninvertJ.MLambda_jLAMBDA_mll_innerll.VARFIMAlocal_W_taperlocal.WLPWNlW_wrapMcC.PerronMLWSpartition.XPeriPeri_symperi_taperPhi_jPHI_lwpoly_LPWNpre.WhiteQu.testR_d_multi_GSER_d_multi_GSE_cointR_lw_chR.elwR.elw.weightedR.LPWNR.lwR.lw.hcR.lw.taperedrank.estrepcxs.deltasimMLWSsimoneSlmT.rhoT0statTabV_MVARFIMA.estVARFIMA.simW_multiwd.elw

Dependencies:fracdiffgmplongmemomathjaxrmvtnormpartitionspolynomrbibutilsRcppRcppArmadilloRdpacksets

Readme and manuals

Help Manual

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