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diffpara
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From: |
Gerd Bürger |
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Subject: |
diffpara |
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Date: |
Thu, 21 Sep 2006 11:35:45 +0200 |
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User-agent: |
Mozilla/5.0 (X11; U; Linux i686; en-US; rv:1.8.0.5) Gecko/20060728 Thunderbird/1.5.0.5 Mnenhy/0.7.4.666 |
The octave-function 'diffpara' (estimating the fractional differencing
parameter for ARIMA) is somewhat obscure to me. For white noise, it
should return values near 0. Here is what I get:
octave:2> d = diffpara(randn(500,1))
d = -1.3051
octave:3> d = diffpara(randn(500,1))
d = -1.2461
octave:4> d = diffpara(randn(500,1))
d = -1.1767
octave:5> d = diffpara(randn(500,1))
d = -1.2678
Any clues?
Gerd