bandpass.var.spp {waveslim} | R Documentation |
Bandpass Variance for Long-Memory Processes
Description
Computes the band-pass variance for fractional difference (FD) or seasonal persistent (SP) processes using numeric integration of their spectral density function.
Usage
bandpass.fdp(a, b, d)
bandpass.spp(a, b, d, fG)
bandpass.spp2(a, b, d1, f1, d2, f2)
bandpass.var.spp(delta, fG, J, Basis, Length)
Arguments
fG , f1 , f2 |
Gegenbauer frequency. |
J |
Depth of the wavelet transform. |
Basis |
Logical vector representing the adaptive basis. |
Length |
Number of elements in Basis. |
a |
Left-hand boundary for the definite integral. |
b |
Right-hand boundary for the definite integral. |
d , delta , d1 , d2 |
Fractional difference parameter. |
Details
See references.
Value
Band-pass variance for the FD or SP process between a
and
b
.
Author(s)
B. Whitcher
References
McCoy, E. J., and A. T. Walden (1996) Wavelet analysis and synthesis of stationary long-memory processes, Journal for Computational and Graphical Statistics, 5, No. 1, 26-56.
Whitcher, B. (2001) Simulating Gaussian stationary processes with unbounded spectra, Journal for Computational and Graphical Statistics, 10, No. 1, 112-134.