The Problem of Spurious Long Memory | The Test Methodology | Installation | The RV5min Dataset | Conducting the Test | Basic Usage | Understanding the Output | Technical Details | Accessing Results | Simulated Examples | Example 1: Genuine Long Memory (ARFIMA) | Example 2: Level Shift (Spurious) | Significance Levels | References | Session Info
Package: SpuriousMemory 1.0.0
SpuriousMemory: Testing True Long Memory Against Spurious Long Memory
Implements a test for distinguishing between true long memory and spurious long memory. Reference: Qu, Z. (2011). "A Test Against Spurious Long Memory." Journal of Business & Economic Statistics, 29(3), 423–438. <doi:10.1198/jbes.2010.09153>.
Authors:
SpuriousMemory_1.0.0.tar.gz
SpuriousMemory_1.0.0.zip(r-4.7-any)SpuriousMemory_1.0.0.zip(r-4.6-any)SpuriousMemory_1.0.0.zip(r-4.5-any)
SpuriousMemory_1.0.0.tgz(r-4.6-any)SpuriousMemory_1.0.0.tgz(r-4.5-any)
SpuriousMemory_1.0.0.tar.gz(r-4.7-any)SpuriousMemory_1.0.0.tar.gz(r-4.6-any)
SpuriousMemory_1.0.0.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION |NEWS
card.svg |card.png
SpuriousMemory/json (API)
| # Install 'SpuriousMemory' in R: |
| install.packages('SpuriousMemory', repos = c('https://zhongjun-qu.r-universe.dev', 'https://cloud.r-project.org')) |
Datasets:
- RV5min - RV5min: realized volatility for Japanese Yen/USD spot exchange rates from Dec 1st, 1986 to Jun 30th, 1999
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated from:e7bbab9f54. Checks:9 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-x86_64 | OK | 114 | ||
| source / vignettes | OK | 145 | ||
| linux-release-x86_64 | OK | 111 | ||
| macos-release-arm64 | OK | 76 | ||
| macos-oldrel-arm64 | OK | 62 | ||
| windows-devel | OK | 81 | ||
| windows-release | OK | 88 | ||
| windows-oldrel | OK | 66 | ||
| wasm-release | OK | 98 |
Exports:filterxLongmemorytest
Dependencies:fracdiff
