RGSE—Semi-parametric estimator of long-memory parameter
Posted: Tue Oct 01, 2019 9:28 am
@RGSE estimates the "d" parameter for fractional integration using Robinson's Gaussian Semiparametric Estimator from Robinson(1992), "Semiparametric analysis of long-memory time series", Annals of Statistics, vol 22, 515-539. Alternative estimators are provided by @GPH and @AGFRACTD.
Detailed description
Detailed description