Testing True Long Memory Against Spurious Long Memory
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Documentation for package ‘SpuriousMemory’ version 1.0.0
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| filterx | Filter a time series to reduce the short-memory dynamics using a low-order ARFIMA model |
| Longmemorytest | Testing true long memory against spurious long memory |
| RV5min | RV5min: realized volatility for Japanese Yen/USD spot exchange rates from Dec 1st, 1986 to Jun 30th, 1999 |