Changryong Baek |
Here are some useful R/Matlab codes and accompanying software for
the papers
Program for "On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation " by Baek and Pipiras Testing Multiple changes in mean against LRD Function descriptions
ACF plot excluding lag 0 PACF plot excluding lag 0 Generating ARIMA time series
Generating FARIMA time series Periodogram GPH estimator Local Whittle estimator R/S plot
Empirical tail probability plot in log-log plot Software for "Second order properties of distribution tails and estimation of tail exponents in random difference equations" by Baek and Pipiras Least squares and Jackknife methods
Software for "Long range dependence, unbalanced Haar wavelet transformation and changes in local mean level" by Baek and Pipiras Discrete Unbalanced Haar Transformation (DUHT) Reconstruction from DUHT with hard thresholding |