Nothing
fracdiff: Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989); including inference and basic methods. Some alternative algorithms to estimate "H".
Getting started
Browse package contents
Package details |
|
|---|---|
| Author | Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch [ctb] (R port, <https://orcid.org/0000-0001-7278-1983>), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman [ctb] (residuals() & fitted(), <https://orcid.org/0000-0002-2140-5352>) |
| Maintainer | Martin Maechler <maechler@stat.math.ethz.ch> |
| License | GPL (>= 2) |
| Version | 1.5-3 |
| URL | https://github.com/mmaechler/fracdiff |
| Package repository | View on CRAN |
| Installation |
Install the latest version of this package by entering the following in R:
|
Try the fracdiff package in your browser
Any scripts or data that you put into this service are public.
