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).

Getting started

Package details

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.
MaintainerMartin Maechler <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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fracdiff documentation built on May 29, 2017, 11:51 a.m.