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

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

Install the latest version of this package by entering the following in R:
install.packages("FGN")
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

Functions

acvfFD Man page
acvfFGN Man page
acvfPLA Man page
acvfPLS Man page
Boot Man page
Boot.FitFGN Man page
coef.FitFGN Man page
earfima Man page
FGN-package Man page
FitFGN Man page
FitRegressionFGN Man page
GetFitFD Man page
GetFitFGN Man page
GetFitPLA Man page
GetFitPLS Man page
globtp Man page
HurstK Man page
LLFD Man page
LLFGN Man page
LLPLA Man page
LLPLS Man page
NileFlowCMS Man page
NileMin Man page
plot.FitFGN Man page
predict.FitFGN Man page
print.FitFGN Man page
Reimann Man page
residuals.FitFGN Man page
sdfarma Man page
sdfFD Man page
sdfFGN Man page
sdfhd Man page
sdfPLA Man page
sdfPLS Man page
SeriesB Man page
SimulateFD Man page
SimulateFGN Man page
summary.FitFGN Man page
warfima Man page

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

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.