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2008 Jul 21
2
Time Series - Long Memory Estimation
Dear R-Users,
I am doing a research on Time Series, especially on the estimation of the
fractional exponent in long memory time series (for those who know).
However there are three estimators already built-in the fracdiff package
(GPH, Sperio, MLE)
I was wondering if there is someone who had used an estimation introduced by
P.M. Robinson (related paper: "Log-Periodogram regression of time series
with long range dependence", 1995, The Annals of Statistics, Vol. 23, p.
1048 - 1072)
The estimator is similar to GPH and Sperio base...