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

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.

AuthorJustin Q. Veenstra [aut, cre], A.I. McLeod [aut]
Date of publication2015-12-31 08:24:14
MaintainerJustin Q. Veenstra <>
LicenseGPL (>= 2)

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/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/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

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