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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 |
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| Author | Benjamin Groebe [aut, cre] |
| Maintainer | Benjamin Groebe <ben.groebe@gmail.com> |
| License | GPL (>= 3) |
| Version | 0.2.0.0 |
| Package repository | View on CRAN |
| Installation |
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