thanks for the reply.
right, there are some functions in Rmetrics concerning long memory, however
the estimator I am searching for is not included.

{For anyone who's interested in long memory, the Rmetrics package-collection
offers pretty much the same as several other packages do separately.
Actually, I think that Rmetrics are a bit more efficient}

If there is anyone else who knows anything on Robinson's estim. please send
me an e-mail.

Thanks again,


On Mon, Jul 21, 2008 at 4:26 PM, <markleeds@verizon.net> wrote:

>  there maybe something for that in one of the Rmetrics packages possibly ?
> 've not used  them but I know that they have some
> long memory functions.
>
>
>
> On Mon, Jul 21, 2008 at  7:35 AM, Fotis Papailias wrote:
>
>  Dear R-Users,
>>
>> I am doing a research on Time Series, especially on the estimation of the
>> fractional exponent in long memory time series (for those who know).
>>
>> However there are three estimators already built-in the fracdiff package
>> (GPH, Sperio, MLE)
>> I was wondering if there is someone who had used an estimation introduced
>> by
>> P.M. Robinson (related paper: "Log-Periodogram regression of time series
>> with long range dependence", 1995, The Annals of Statistics, Vol. 23, p.
>> 1048 - 1072)
>> The estimator is similar to GPH and Sperio based on the periodogram.
>>
>> Thank you in advance,
>>
>> Fotis
>>
>> --
>> fp
>>
>>        [[alternative HTML version deleted]]
>>
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>> and provide commented, minimal, self-contained, reproducible code.
>>
>


-- 
fp

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