Language Reference |
FDIF Call |
The FDIF subroutine computes a fractionally differenced process. The input arguments to the FDIF subroutine are as follows:
specifies a time series with length.
specifies a fractional differencing order. This argument is required; the value of should be in the open interval excluding zero.
The FDIF subroutine returns the following value:
is an vector that contains the fractionally differenced process.
As an example, consider an ARFIMA() process
Let ; that is, follows an ARMA(1,1). The following statements compute the filtered series :
d = 0.3; phi = 0.5; theta = -0.1; call farmasim(yt, d, phi, theta) n=10; call fdif(zt, yt, d); print zt;
Copyright © SAS Institute, Inc. All Rights Reserved.