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).

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

View on CRAN

Man pages

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

Files in this package

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