nsarfima: Methods for Fitting and Simulating Non-Stationary ARFIMA Models

Routines for fitting and simulating data under autoregressive fractionally integrated moving average (ARFIMA) models, without the constraint of covariance stationarity. Two fitting methods are implemented, a pseudo-maximum likelihood method and a minimum distance estimator. Mayoral, L. (2007) <doi:10.1111/j.1368-423X.2007.00202.x>. Beran, J. (1995) <doi:10.1111/j.2517-6161.1995.tb02054.x>.

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Package details

AuthorBenjamin Groebe [aut, cre]
MaintainerBenjamin Groebe <ben.groebe@gmail.com>
LicenseGPL (>= 3)
Package repositoryView on CRAN
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nsarfima documentation built on Aug. 6, 2020, 5:10 p.m.