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Diffstat (limited to 'macros/diffpara.sci')
| -rw-r--r-- | macros/diffpara.sci | 17 |
1 files changed, 17 insertions, 0 deletions
diff --git a/macros/diffpara.sci b/macros/diffpara.sci index 3f9e2d9..c36ae7c 100644 --- a/macros/diffpara.sci +++ b/macros/diffpara.sci @@ -1,4 +1,21 @@ function [D,DD] = diffpara(X,varargin) +//Return the estimator D for the differencing parameter of an integrated time series +//Calling Sequence +// [D, DD] = diffpara (X) +// [D, DD] = diffpara (X, A) +// [D, DD] = diffpara (X, A, B) +//Parameters +//X: Input scalar or vector. +//DD:The estimators for all frequencies in the intervals described above. +//D:The mean of DD +//Description +//Return the estimator D for the differencing parameter of an integrated time series. +// +//The frequencies from [2*pi*a/t, 2*pi*b/T] are used for the estimation. If B is omitted, the interval [2*pi/T, 2*pi*a/T] is used. If both B and A are omitted then a = 0.5 * sqrt (T) and b = 1.5 * sqrt (T) is used, where T is the sample size. If X is a matrix, the differencing parameter of each column is estimated. +// +//The estimators for all frequencies in the intervals described above is returned in DD. +// +//The value of D is simply the mean of DD. lhs= argn(1); rhs= argn(2); if(rhs <1 | rhs> 3) |