fracdiff: Fractionally differenced ARIMA aka ARFIMA(p,d,q) models
Version 1.4-2

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.
Date of publication2012-12-02 07:08:12
MaintainerMartin Maechler <maechler@stat.math.ethz.ch>
LicenseGPL (>= 2)
Version1.4-2
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("fracdiff")

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fracdiff documentation built on May 29, 2017, 11:51 a.m.