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

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

Author
A.I. McLeod and Justin Veenstra
Date of publication
2014-05-16 07:33:31
Maintainer
A.I. McLeod <aimcleod@uwo.ca>
License
CC BY-NC-SA 3.0
Version
2.0-12
URLs

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