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diffpara

PURPOSE ^

% Return the estimator @var{d} for the differencing parameter of an

SYNOPSIS ^

function [d, D] = diffpara (X, a, b)

DESCRIPTION ^

% -*- texinfo -*-
% @deftypefn {Function File} {[@var{d}, @var{dd}] =} diffpara (@var{x}, @var{a}, @var{b})
% Return the estimator @var{d} for the differencing parameter of an
% integrated time series.
%
% The frequencies from @math{[2*pi*a/t, 2*pi*b/T]} are used for the
% estimation.  If @var{b} is omitted, the interval
% @math{[2*pi/T, 2*pi*a/T]} is used.  If both @var{b} and @var{a} are
% omitted then @math{a = 0.5 * sqrt (T)} and @math{b = 1.5 * sqrt (T)}
% is used, where @math{T} is the sample size.  If @var{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 @var{dd}.  The value of @var{d} is
% simply the mean of @var{dd}.
%
% Reference: Brockwell, Peter J. & Davis, Richard A. Time Series:
% Theory and Methods Springer 1987.
% @end deftypefn

CROSS-REFERENCE INFORMATION ^

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