Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989).

Author | S 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 publication | 2012-12-02 07:08:12 |

Maintainer | Martin Maechler <maechler@stat.math.ethz.ch> |

License | GPL (>= 2) |

Version | 1.4-2 |

**confint.fracdiff:** Confidence Intervals for Fracdiff Model Parameters

**diffseries:** Fractionally Differenciate Data

**fdGPH:** Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)

**fd-methods:** Many Methods for "fracdiff" Objects

**fdSperio:** Sperio Estimate for 'd' in ARFIMA(p,d,q)

**fracdiff:** ML Estimates for Fractionally-Differenced ARIMA (p,d,q)...

**fracdiff.sim:** Simulate fractional ARIMA Time Series

**fracdiff.var:** Recompute Covariance Estimate for fracdiff

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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