WHITTLE

DESCRIPTION

This method minimizes an approximate log-likelihood function (applied to the spectral density) to obtain an estimate of the parameters of a process. It is parametric and does not produce a graphical output.

IMPLEMENTATION

There are several options for using the Whittle estimator. Some are described below.

- The data is here called
*xinput*. - One can optionally subdivide the series into subseries
(
*nsub*, default is 1). - One can output the periodogram (
*spec*, default = NO). - One can ouput intermediate minimization results (
*out*, default = YES). - The
*model*can be either "farima" or "fgn". - If it is "farima",
*pp*and*qq*set the order of the autoregressive and moving average parts respectively. -
*h*is the starting value of H for the minimization procedure. -
*ar*and*ma*are the vectors corresponding to the starting values of the other parameters. (Length of vectors should be the same as*pp*and*qq*. - To use the Aggregated Whittle method, first aggregate the data, and then use the FGN model in the Whittle estimator.