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ishimatsu
2008 Jul 25
1
transcript a matlab code in R
Dear R-users,
I am trying to translate a matlab code for calculating the Local Whittle
estimator in time series with long memory originally written by Shimotsu and
available free in his webpage (
http://www.econ.queensu.ca/pub/faculty/shimotsu/ )
The Matlab code is
=======================================================================================
function[r] = whittle(d,x,m)
% WHITTLE.M computes the local Whittle likelihood, which uses
% the perio...