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).

AuthorS original by Chris Fraley, U.Washington, Seattle. R port by Fritz Leisch at TU Wien; since 2003-12: Martin Maechler; fdGPH(), fdSperio(), etc by Valderio Reisen and Artur Lemonte.
Date of publication2012-12-02 07:08:12
MaintainerMartin Maechler <maechler@stat.math.ethz.ch>
LicenseGPL (>= 2)
Version1.4-2

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Files

fracdiff
fracdiff/MD5
fracdiff/src
fracdiff/src/gamm_comm.h
fracdiff/src/mach_comm.h
fracdiff/src/fdmin.c
fracdiff/src/fdcore.c
fracdiff/src/init.c
fracdiff/src/Makevars
fracdiff/src/hess_comm.h
fracdiff/src/pmult.c
fracdiff/src/fdgam.c
fracdiff/src/fdsim.c
fracdiff/src/fracdiff.h
fracdiff/src/fdhess.c
fracdiff/src/maux_comm.h
fracdiff/DESCRIPTION
fracdiff/TODO
fracdiff/NAMESPACE
fracdiff/filters.R
fracdiff/Done
fracdiff/man
fracdiff/man/fracdiff.sim.Rd fracdiff/man/fd-methods.Rd fracdiff/man/fdGPH.Rd fracdiff/man/diffseries.Rd fracdiff/man/fdSperio.Rd fracdiff/man/fracdiff.var.Rd fracdiff/man/confint.fracdiff.Rd fracdiff/man/fracdiff.Rd
fracdiff/ChangeLog
fracdiff/R
fracdiff/R/fdGPH.R fracdiff/R/fracdiff.R fracdiff/R/fd-methods.R fracdiff/R/diffseries.R fracdiff/R/fdSperio.R
fracdiff/tests
fracdiff/tests/sim-ex.Rout.save
fracdiff/tests/ex.Rout.save
fracdiff/tests/ex.Rout-64b
fracdiff/tests/Valderio-ex.R
fracdiff/tests/ex.Rout-32b
fracdiff/tests/ex-Vinod.R
fracdiff/tests/ex.R
fracdiff/tests/sim-2.R
fracdiff/tests/sim-ex.R
fracdiff/tests/Valderio-ex.Rout.save
fracdiff/README
fracdiff/Calling

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