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 <justin.veenstra@gmail.com>
LicenseGPL (>= 2)
Version1.3-4

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...

Functions

AIC.arfima Man page
arfima Man page
arfima Man page
arfima0 Man page
arfima-package Man page
arfima.sim Man page
ARToPacf Man page
bestModes Man page
BIC Man page
BIC.arfima Man page
Boot Man page
Boot.arfima Man page
coef.arfima Man page
distance Man page
fitted.arfima Man page
iARFIMA Man page
IdentInvertQ Man page
lARFIMA Man page
lARFIMAwTF Man page
logLik.arfima Man page
PacfToAR Man page
plot.predarfima Man page
plot.tacvf Man page
predict.arfima Man page
print.arfima Man page
print.predarfima Man page
print.summary.arfima Man page
print.tacvf Man page
removeMode Man page
resid.arfima Man page
residuals.arfima Man page
SeriesJ Man page
summary.arfima Man page
tacfplot Man page
tacvf Man page
tacvfARFIMA Man page
tmpyr Man page
vcov.arfima Man page
weed Man page

Files

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

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