R help - Jan 2002 - How to obtain the series of residuals from fracdiff

Hi

I'm using fracdiff package to estimate the parameters of a 
fractionally-differenced ARIMA (p,d,q) model, and it works fine, but I wanted 
to have also the filtered series and the series of residuals.
I understand these are calculated in the subroutine fdfilt, in the program 
fdcore.f, but I can't manage to get them out.

Any suggestion would be much appreciated

Thanks

Susana Barbosa
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> Date: Wed, 9 Jan 2002 07:57:31 +0000
> From: Susana Barbosa <susanabarbosa at novalis.fc.up.pt>
> Subject: [R] How to obtain the series of residuals from fracdiff
>
> Hi
>
> I'm using fracdiff package to estimate the parameters of a
> fractionally-differenced ARIMA (p,d,q) model, and it works fine, but I
wanted
> to have also the filtered series and the series of residuals.
> I understand these are calculated in the subroutine fdfilt, in the program
> fdcore.f, but I can't manage to get them out.
>
> Any suggestion would be much appreciated
>
> Thanks
>
> Susana Barbosa
Hi Susana

For fractional differencing you can use, e.g., something like

fracdiff <- function (x, d, N = 100)
{
  n <- 0:N
  w <- gamma(-d+n)/(gamma(-d)*gamma(n+1))
  y <- filter(x, w, sides=1)
  return (y)
}

Adrian


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Dear Adrian

Thank you very much for your help.
It worked!

Thanks


Susana


>
> Hi Susana
>
> For fractional differencing you can use, e.g., something like
>
> fracdiff <- function (x, d, N = 100)
> {
>   n <- 0:N
>   w <- gamma(-d+n)/(gamma(-d)*gamma(n+1))
>   y <- filter(x, w, sides=1)
>   return (y)
> }
>
> Adrian
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