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); including inference and basic methods. Some alternative algorithms to estimate "H".

Getting started

Package details

AuthorMartin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch [ctb] (R port, <https://orcid.org/0000-0001-7278-1983>), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman [ctb] (residuals() & fitted(), <https://orcid.org/0000-0002-2140-5352>)
MaintainerMartin Maechler <maechler@stat.math.ethz.ch>
LicenseGPL (>= 2)
Version1.5-1
URL https://github.com/mmaechler/fracdiff
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("fracdiff")

Try the fracdiff package in your browser

Any scripts or data that you put into this service are public.

fracdiff documentation built on Jan. 25, 2020, 1:07 a.m.