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Diffstat (limited to 'macros/diffpara.sci')
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diff --git a/macros/diffpara.sci b/macros/diffpara.sci new file mode 100644 index 0000000..c36ae7c --- /dev/null +++ b/macros/diffpara.sci @@ -0,0 +1,50 @@ +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) + error("Wrong number of input parameters"); + end + if(lhs<1 | lhs>2) + error("Wrong number of output parameters"); + end + select(rhs) + case 1 then + select(lhs) + case 1 then + D= diffpara(X); + case 2 then + [D, DD]= diffpara(X); + end + case 2 then + select(lhs) + case 1 then + D= diffpara(X, varargin(1)); + case 2 then + [D, DD]= diffpara(X, varargin(1)); + end + case 3 then + select(lhs) + case 1 then + D= diffpara(X, varargin(1), varargin(2)); + case 2 then + [D, DD]= diffpara(X, varargin(1), varargin(2)); + end + end +endfunction |