fracARMA: Fractionally Integrated ARMA Model

In fracARMA: Fractionally Integrated ARMA Model

Fractionally Integrated ARMA Model

Description

This function applies fractional differencing and fits an ARMA model to time series data.

Usage

fracARMA(ts, p, d, q, s)

Arguments

ts	A time series object (class 'ts').
p	The AR order.
d	The degree of fractional differencing.
q	The MA order.
s	The proportion of the data to be used for training.

Value

A list containing the model summary, fitted values, and forecasted results.

References

The 'forecast' and 'fracdiff' packages are used for model fitting and fractional differencing.

Examples

  ts_data <- ts(rnorm(100))
  result <- fracARMA(ts_data, p = 1, d = 0.3, q = 1, s = 0.8)

fracARMA documentation built on April 4, 2025, 5:20 a.m.