eigen_resids {LongMemoryTS}R Documentation

Calculates eigenvalues and eigenvectors of averaged periodogram. Generates cointegrating residuals with help of eigenvectors.

Description

Calculates eigenvalues and eigenvectors of averaged periodogram. Generates cointegrating residuals with help of eigenvectors.

Calculates eigenvalues and eigenvectors of averaged periodogram. Generates cointegrating residuals with help of eigenvectors.

Usage

eigen_resids(X, diff_param = 1, m_peri)

eigen_resids(X, diff_param = 1, m_peri)

[Package LongMemoryTS version 0.1.0 Index]