arfima: Fractional ARIMA (and Other Long Memory) Time Series Modeling

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Simulates, fits, and predicts long-memory and anti-persistent time series, possibly mixed with ARMA, regression, transfer-function components. Exact methods (MLE, forecasting, simulation) are used.

Author
Justin Q. Veenstra [aut, cre], A.I. McLeod [aut]
Date of publication
2015-12-31 08:24:14
Maintainer
Justin Q. Veenstra <justin.veenstra@gmail.com>
License
GPL (>= 2)
Version
1.3-4

View on CRAN

Man pages

AIC.arfima
Information criteria for 'arfima' objects
arfima
Fit ARFIMA, ARIMA-FGN, and ARIMA-PLA (multi-start) models
arfima0
Exact MLE for ARFIMA
arfima-package
Simulates, fits, and predicts persistent and anti-persistent...
arfima.sim
Simulate an ARFIMA time series.
ARToPacf
Converts AR/MA coefficients from operator space to the PACF...
bestModes
Finds the best modes of an 'arfima' fit.
Boot
Generic Bootstrap Function
Boot.arfima
A parametric bootstrap based on an arfima fit.
coef.arfima
Extract Model Coefficients
distance
The distance between modes of an 'arfima' fit.
fitted.arfima
Extract Model Fitted Values
iARFIMA
The Fisher information matrix of an ARFIMA process
IdentInvertQ
Checks invertibility, stationarity, and identifiability of a...
lARFIMA
Exact log-likelihood of a long memory model
lARFIMAwTF
Exact log-likelihood of a long memory model with a transfer...
logLik.arfima
Extract Log-Likelihood Values
PacfToAR
Converts AR/MA coefficients from the PACF space to operator...
plot.predarfima
Plots the original time series, the predictions, and the...
plot.tacvf
Plots the output from a call to 'tacvf'
predict.arfima
Predicts from a fitted object.
print.arfima
Prints a Fitted Object
print.predarfima
Prints predictions and prediction intervals
print.summary.arfima
Prints the output of a call to 'summary' on an 'arfima'...
print.tacvf
Prints a tacvf object.
removeMode
Removes a mode from an 'arfima' fit.
resid.arfima
Extract the Residuals of a Fitted Object
SeriesJ
Series J, Gas Furnace Data
summary.arfima
Extensive Summary of an Object
tacfplot
Plots the theoretical autocorralation functions (tacfs) of...
tacvf
Extracts the tacvfs of a fitted object
tacvfARFIMA
The theoretical autocovariance function of a long memory...
tmpyr
Temperature Data
vcov.arfima
Extracts the Variance-Covariance Matrix
weed
Weeds out fits from a call to arfima that are too close to...

Files in this package

arfima
arfima/inst
arfima/inst/CITATION
arfima/src
arfima/src/Makevars
arfima/src/tacf.c
arfima/src/INTEGD.f
arfima/src/durlevsim.c
arfima/src/tfcalc.c
arfima/NAMESPACE
arfima/data
arfima/data/SeriesJ.RData
arfima/data/tmpyr.RData
arfima/R
arfima/R/predict.ARFIMA.R
arfima/R/arfima.R
arfima/R/plot.predARFIMA.R
arfima/R/sims.R
arfima/R/mult.R
arfima/R/lARFIMA.R
arfima/R/Boot.ARFIMA.R
arfima/R/iARMA.R
arfima/R/arfima0.R
arfima/R/utilityfcns.R
arfima/R/lARFIMAwTF.R
arfima/R/getssq.R
arfima/R/Boot.R
arfima/R/wts.R
arfima/R/ARToPacf.R
arfima/R/InvertibleQ.R
arfima/R/tacf.R
arfima/R/integ.R
arfima/R/arfimaFit.R
arfima/MD5
arfima/DESCRIPTION
arfima/man
arfima/man/logLik.arfima.Rd
arfima/man/arfima-package.Rd
arfima/man/plot.predarfima.Rd
arfima/man/predict.arfima.Rd
arfima/man/print.predarfima.Rd
arfima/man/tacfplot.Rd
arfima/man/iARFIMA.Rd
arfima/man/AIC.arfima.Rd
arfima/man/SeriesJ.Rd
arfima/man/PacfToAR.Rd
arfima/man/summary.arfima.Rd
arfima/man/IdentInvertQ.Rd
arfima/man/tacvfARFIMA.Rd
arfima/man/distance.Rd
arfima/man/tacvf.Rd
arfima/man/tmpyr.Rd
arfima/man/print.summary.arfima.Rd
arfima/man/lARFIMA.Rd
arfima/man/coef.arfima.Rd
arfima/man/Boot.arfima.Rd
arfima/man/fitted.arfima.Rd
arfima/man/plot.tacvf.Rd
arfima/man/lARFIMAwTF.Rd
arfima/man/arfima0.Rd
arfima/man/Boot.Rd
arfima/man/ARToPacf.Rd
arfima/man/bestModes.Rd
arfima/man/removeMode.Rd
arfima/man/arfima.sim.Rd
arfima/man/arfima.Rd
arfima/man/print.arfima.Rd
arfima/man/print.tacvf.Rd
arfima/man/resid.arfima.Rd
arfima/man/vcov.arfima.Rd
arfima/man/weed.Rd