FGN: Fractional Gaussian Noise and power law decay time series model fitting

Exact MLE and Whittle MLE estimation for power law decay models.

AuthorA.I. McLeod and Justin Veenstra
Date of publication2014-05-16 07:33:31
MaintainerA.I. McLeod <aimcleod@uwo.ca>
LicenseCC BY-NC-SA 3.0
Version2.0-12
http://www.stats.uwo.ca/faculty/aim

View on CRAN

Man pages

acvfFD: autocovariance function of fractionally-differenced white...

acvfFGN: Autocovariance of FGN

acvfPLA: autocovariance function for the PLA model

acvfPLS: autocovariance function for PLS model

Boot: Generic Bootstrap Function

Boot.FitFGN: Simulate Fitted FGN Model

coef.FitFGN: Display estimated parameters from FitFGN

earfima: Exact MLE for ARFIMA

FGN-package: Fractional Gaussian Noise and hyperbolic decay time series...

FitFGN: MLE estimation for FGN

FitRegressionFGN: Regression with FGN Errors

GetFitFD: Fit FD Time Series Model

GetFitFGN: Fit FGN Time Series Model

GetFitPLA: Fit PLA Time Series Model

GetFitPLS: Fit PLS Time Series Model

globtp: Annual global temperature, 1880-1985

HurstK: Hurst K Coefficient

LLFD: Concentrated Loglikelihood Function for d

LLFGN: Concentrated Loglikelihood Function for H

LLPLA: Concentrated Loglikelihood Function for parameter alpha in...

LLPLS: Concentrated Loglikelihood Function for alpha in PLS model

NileFlowCMS: Annual flow of Nile River at Aswan, 1871-1945

NileMin: Nile Annual Minima, 622 AD to 1284 AD

plot.FitFGN: Plot Method for "FitFGN" Object

predict.FitFGN: Forecasts from a fitted FGN model

print.FitFGN: Print Method for "FitFGN" Object

Reimann: Computes Reimann zeta function on [0,3]

residuals.FitFGN: Extract Residuals from "FitFGN" Object

sdfarma: ARMA spectral density function

sdfFD: Spectral density function for FD

sdfFGN: Spectral density function for FGN

sdfhd: Spectral density of hyperbolic decay models

sdfPLA: Spectral density function for PLA

sdfPLS: Spectral density function for PLS

SeriesB: Series B, close price IBM stock

SimulateFD: Simulates FD

SimulateFGN: Simulates FGN

summary.FitFGN: Summary Method for "FitFGN" Object

warfima: Whittle mle arfima

Files in this package

FGN
FGN/inst
FGN/inst/CITATION
FGN/inst/doc
FGN/inst/doc/eNileMin.R
FGN/inst/doc/index.html
FGN/inst/doc/SeriesB.pdf
FGN/inst/doc/v23i05_table14.R
FGN/inst/doc/eSeriesB.R
FGN/inst/doc/NileMin.pdf
FGN/inst/doc/index_files
FGN/inst/doc/index_files/themedata.thmx
FGN/inst/doc/index_files/colorschememapping.xml
FGN/inst/doc/index_files/filelist.xml
FGN/inst/doc/v23i05.pdf
FGN/inst/doc/v23i05_table12.R
FGN/inst/doc/v23i05_table15b.R
FGN/inst/doc/v23i05_table15a.R
FGN/src
FGN/src/Makevars
FGN/src/tacf.c
FGN/NAMESPACE
FGN/NEWS
FGN/data
FGN/data/NileFlowCMS.rda
FGN/data/NileMin.rda
FGN/data/SeriesB.rda
FGN/data/globtp.rda
FGN/R
FGN/R/GetFitPLS.R FGN/R/GetFitFD.R FGN/R/earfima.R FGN/R/sdfFGN.R FGN/R/WLoglikelihood.R FGN/R/sdfFD.R FGN/R/sdfPLA.R FGN/R/SimulateFGN.R FGN/R/print.FitFGN.R FGN/R/HurstK.R FGN/R/warfima.R FGN/R/acvfFD.R FGN/R/FitRegressionFGN.R FGN/R/coef.FitFGN.R FGN/R/acvfFGN.R FGN/R/LLFGN.R FGN/R/Reimann.R FGN/R/LLPLA.R FGN/R/sdfhd.R FGN/R/LLFD.R FGN/R/FitFGN.R FGN/R/PacfToAR.R FGN/R/acvfPLSA.R FGN/R/sdfarma.R FGN/R/acvfPLA.R FGN/R/Boot.FitFGN.R FGN/R/plot.FitFGN.R FGN/R/Boot.R FGN/R/ARToPacf.R FGN/R/InvertibleQ.R FGN/R/GetFitPLA.R FGN/R/SimulateFD.R FGN/R/tacf.R FGN/R/sdfPLS.R FGN/R/residuals.FitFGN.R FGN/R/GetFitFGN.R FGN/R/predict.FitFGN.R FGN/R/summary.FitFGN.R FGN/R/LLPLS.R
FGN/MD5
FGN/DESCRIPTION
FGN/man
FGN/man/globtp.Rd FGN/man/sdfFD.Rd FGN/man/sdfFGN.Rd FGN/man/acvfPLA.Rd FGN/man/GetFitPLA.Rd FGN/man/FitRegressionFGN.Rd FGN/man/plot.FitFGN.Rd FGN/man/NileFlowCMS.Rd FGN/man/Boot.FitFGN.Rd FGN/man/SimulateFD.Rd FGN/man/acvfFGN.Rd FGN/man/HurstK.Rd FGN/man/Reimann.Rd FGN/man/acvfFD.Rd FGN/man/predict.FitFGN.Rd FGN/man/coef.FitFGN.Rd FGN/man/NileMin.Rd FGN/man/warfima.Rd FGN/man/sdfhd.Rd FGN/man/summary.FitFGN.Rd FGN/man/residuals.FitFGN.Rd FGN/man/print.FitFGN.Rd FGN/man/GetFitFD.Rd FGN/man/FGN-package.Rd FGN/man/sdfPLS.Rd FGN/man/sdfPLA.Rd FGN/man/SeriesB.Rd FGN/man/GetFitPLS.Rd FGN/man/LLPLA.Rd FGN/man/LLFD.Rd FGN/man/earfima.Rd FGN/man/Boot.Rd FGN/man/acvfPLS.Rd FGN/man/LLPLS.Rd FGN/man/sdfarma.Rd FGN/man/FitFGN.Rd FGN/man/GetFitFGN.Rd FGN/man/SimulateFGN.Rd FGN/man/LLFGN.Rd

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.