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Fractional differencing

frac_diff.Rd

Applies \((1 - B)^d\) at every grid point, where \(B\) is the backshift operator. A negative d integrates, so frac_diff(frac_diff(x, d), -d) returns x.

Usage

frac_diff(x, d)

Arguments

x

A matrix of curves (grid points by time).

d

Memory parameter, the order of differencing. A negative d fractionally integrates the curves.

Value

The fractionally differenced curves, or the fractionally integrated curves when d is negative, as a matrix of the same size as x.

See also

estimate_memory()

Examples

x = sim_farfima(n = 100, d = 0.3, p = 1, q = 0, seed = 1)
y = frac_diff(x, 0.3)
max(abs(frac_diff(y, -0.3) - x))
#> [1] 4.884981e-15