Displaying 1 result from an estimated 1 matches for "20fracdiff".
2013 Apr 24
0
Residuals for fracdiff
...ty of Lausanne
Message-id: <3C3D6095.5EB01FAA@lmttrading.com>
> Date: Wed, 9 Jan 2002 07:57:31 +0000
> From: Susana Barbosa <susanabarbosa@novalis.fc.up.pt
<mailto:susanabarbosa@novalis.fc.up.pt?Subject=Re:%20[R]%20How%20to%20obtain
%20the%20series%20of%20residuals%20from%20fracdiff> >
> 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 serie...