This method minimizes an approximate log-likelihood function to obtain an
estimate of the parameters of a process. It is semi-parametric in that it
only assumes the form of the spectral density close to the origin. It
does not produce a graphical output.
A more detailed description.
There are several routines associated with the local Whittle estimator.
- locwhitt is the basic routine. Has parameters h which
is starting H value for minimization, and im which tells program to
only use N/im frequencies in minimization.
- locwhitt.cont -- as above, but computes estimate for several
different values of im, and returns a vector of results.
- locwhitt.cont.theory -- as locwhitt.cont, but does it for theoretical spectral density instead of periodogram. Spectral
density must be supplied.
- All of the above routines but with the suffix 2 use the
cumulative periodogram instead of the periodogram to do the same things.