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C++ API

: [d, dd] = diffpara (x, a, b)

Return the estimator d for the differencing parameter of an integrated time series.

The frequencies from [2*pi*a/t, 2*pi*b/T] are used for the estimation. If b is omitted, the interval [2*pi/T, 2*pi*a/T] is used. If both b and a are omitted then a = 0.5 * sqrt (T) and b = 1.5 * sqrt (T) is used, where T is the sample size. If x is a matrix, the differencing parameter of each column is estimated.

The estimators for all frequencies in the intervals described above is returned in dd.

The value of d is simply the mean of dd.

Reference: P.J. Brockwell & R.A. Davis. Time Series: Theory and Methods. Springer 1987.

Package: octave