longmemo: Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality

Datasets and Functionality from 'Jan Beran' (1994). Statistics for Long-Memory Processes; Chapman & Hall. Estimation of Hurst (and more) parameters for fractional Gaussian noise, 'fARIMA' and 'FEXP' models.

Package details

AuthorS scripts originally by Jan Beran <jan.beran@uni-konstanz.de>; Datasets via Brandon Whitcher <brandon@stat.washington.edu>. Toplevel R functions and much more by Martin Maechler.
MaintainerMartin Maechler <maechler@stat.math.ethz.ch>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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longmemo documentation built on March 26, 2020, 7:42 p.m.