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Smoothing Long-Memory Time Series
Yuanhua Feng, Sebastian Letmathe, Jan Beran, Dominik Schulz
Last update: 22 October 2023
Copyright license: GNU General Public License, version 3.0
Software version identifier: 1.0.1, 1.0.0, 1.0.2
The nonparametric trend and its derivatives in equidistant time series (TS) with long-memory errors can be estimated. The estimation is conducted via local polynomial regression using an automatically selected bandwidth obtained by a built-in iterative plug-in algorithm or a bandwidth fixed by the user. The smoothing methods of the package are described in Letmathe, S., Beran, J. and Feng, Y., (2021) <https://ideas.repec.org/p/pdn/ciepap/145.html>.
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