search for: seriesfd

...close to zero by decreasing the "h" argument ? The example of the help file shows this fact : {Quote} ## Generate a fractionally-differenced ARIMA(1,d,1) model :ts.test <- fracdiff.sim(10000, ar = .2, ma = .4, d = .3)## estimate the parameters in an ARIMA(1,d,1) model for the simulated seriesfd.out <- fracdiff(ts.test$ser, nar= 1, nma = 1) ## Modify the covariance estimate by changing the finite-difference interval(fd.o2 <- fracdiff.var(ts.test$series, fd.out, h = .0001))## looks identical as print(fd.out),## however these (e.g.) differ :vcov(fd.out)vcov(fd.o2) {end of quote} Looki...