FGN: Fractional Gaussian Noise and power law decay time series model fitting
Version 2.0-12

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
URL http://www.stats.uwo.ca/faculty/aim
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("FGN")

Getting started

Package overview

Popular man pages

FitRegressionFGN: Regression with FGN Errors
GetFitFGN: Fit FGN Time Series Model
GetFitPLS: Fit PLS Time Series Model
NileFlowCMS: Annual flow of Nile River at Aswan, 1871-1945
sdfFD: Spectral density function for FD
sdfhd: Spectral density of hyperbolic decay models
warfima: Whittle mle arfima
See all...

All man pages Function index File listing

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

Functions

Files

inst
inst/CITATION
inst/doc
inst/doc/eNileMin.R
inst/doc/index.html
inst/doc/SeriesB.pdf
inst/doc/v23i05_table14.R
inst/doc/eSeriesB.R
inst/doc/NileMin.pdf
inst/doc/index_files
inst/doc/index_files/themedata.thmx
inst/doc/index_files/colorschememapping.xml
inst/doc/index_files/filelist.xml
inst/doc/v23i05.pdf
inst/doc/v23i05_table12.R
inst/doc/v23i05_table15b.R
inst/doc/v23i05_table15a.R
src
src/Makevars
src/tacf.c
NAMESPACE
NEWS
data
data/NileFlowCMS.rda
data/NileMin.rda
data/SeriesB.rda
data/globtp.rda
R
R/GetFitPLS.R
R/GetFitFD.R
R/earfima.R
R/sdfFGN.R
R/WLoglikelihood.R
R/sdfFD.R
R/sdfPLA.R
R/SimulateFGN.R
R/print.FitFGN.R
R/HurstK.R
R/warfima.R
R/acvfFD.R
R/FitRegressionFGN.R
R/coef.FitFGN.R
R/acvfFGN.R
R/LLFGN.R
R/Reimann.R
R/LLPLA.R
R/sdfhd.R
R/LLFD.R
R/FitFGN.R
R/PacfToAR.R
R/acvfPLSA.R
R/sdfarma.R
R/acvfPLA.R
R/Boot.FitFGN.R
R/plot.FitFGN.R
R/Boot.R
R/ARToPacf.R
R/InvertibleQ.R
R/GetFitPLA.R
R/SimulateFD.R
R/tacf.R
R/sdfPLS.R
R/residuals.FitFGN.R
R/GetFitFGN.R
R/predict.FitFGN.R
R/summary.FitFGN.R
R/LLPLS.R
MD5
DESCRIPTION
man
man/globtp.Rd
man/sdfFD.Rd
man/sdfFGN.Rd
man/acvfPLA.Rd
man/GetFitPLA.Rd
man/FitRegressionFGN.Rd
man/plot.FitFGN.Rd
man/NileFlowCMS.Rd
man/Boot.FitFGN.Rd
man/SimulateFD.Rd
man/acvfFGN.Rd
man/HurstK.Rd
man/Reimann.Rd
man/acvfFD.Rd
man/predict.FitFGN.Rd
man/coef.FitFGN.Rd
man/NileMin.Rd
man/warfima.Rd
man/sdfhd.Rd
man/summary.FitFGN.Rd
man/residuals.FitFGN.Rd
man/print.FitFGN.Rd
man/GetFitFD.Rd
man/FGN-package.Rd
man/sdfPLS.Rd
man/sdfPLA.Rd
man/SeriesB.Rd
man/GetFitPLS.Rd
man/LLPLA.Rd
man/LLFD.Rd
man/earfima.Rd
man/Boot.Rd
man/acvfPLS.Rd
man/LLPLS.Rd
man/sdfarma.Rd
man/FitFGN.Rd
man/GetFitFGN.Rd
man/SimulateFGN.Rd
man/LLFGN.Rd
FGN documentation built on May 20, 2017, 4:56 a.m.

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