Locally Stationary Whittle Log-likelihood sigma — LS.whittle.loglik.sd • LSTS

This function calculates log-likelihood with known $\theta$ , through LS.whittle.loglik function.

LS.whittle.loglik.sd(
  x,
  series,
  order = c(p = 0, q = 0),
  ar.order = NULL,
  ma.order = NULL,
  sd.order = NULL,
  d.order = NULL,
  include.d = FALSE,
  N = NULL,
  S = NULL,
  include.taper = TRUE,
  theta.par = numeric()
)

Arguments

x: (type: numeric) parameter vector.
series: (type: numeric) univariate time series.
order: (type: numeric) vector corresponding to ARMA model entered.
ar.order: (type: numeric) AR polimonial order.
ma.order: (type: numeric) MA polimonial order.
sd.order: (type: numeric) polinomial order noise scale factor.
d.order: (type: numeric) d polinomial order, where d is the ARFIMA parameter.
include.d: (type: numeric) logical argument for ARFIMA models. If include.d=FALSE then the model is an ARMA process.
N: (type: numeric) value corresponding to the length of the window to compute periodogram. If N=NULL then the function will use $N = \textrm{trunc}(n^{0.8})$ , see Dahlhaus (1998) where $n$ is the length of the y vector.
S: (type: numeric) value corresponding to the lag with which will go taking the blocks or windows.
include.taper: (type: logical) logical argument that by default is TRUE. See periodogram.
theta.par: (type: numeric) vector with the known parameters of the model.

Details

This function computes LS.whittle.loglik with x as x = c(theta.par, x).