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).

Install the latest version of this package by entering the following in R:
install.packages("fracdiff")
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

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Files

MD5
src
src/gamm_comm.h
src/mach_comm.h
src/fdmin.c
src/fdcore.c
src/init.c
src/Makevars
src/hess_comm.h
src/pmult.c
src/fdgam.c
src/fdsim.c
src/fracdiff.h
src/fdhess.c
src/maux_comm.h
DESCRIPTION
TODO
NAMESPACE
filters.R
Done
man
man/fracdiff.sim.Rd man/fd-methods.Rd man/fdGPH.Rd man/diffseries.Rd man/fdSperio.Rd man/fracdiff.var.Rd man/confint.fracdiff.Rd man/fracdiff.Rd
ChangeLog
R
R/fdGPH.R R/fracdiff.R R/fd-methods.R R/diffseries.R R/fdSperio.R
tests
tests/sim-ex.Rout.save
tests/ex.Rout.save
tests/ex.Rout-64b
tests/Valderio-ex.R
tests/ex.Rout-32b
tests/ex-Vinod.R tests/ex.R tests/sim-2.R tests/sim-ex.R
tests/Valderio-ex.Rout.save
README
Calling

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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