README.md
In luisdamiano/LeastFracDiff: Grid Search for the Least Fractional Differenciation Order
Least Fractional Differentiation Order
LeastFracDiff provides some minimal tools for finding an approximation to the least fractional difference order that transforms a time series into an stationary series, as suggested by de Prado (2018).
Usage
devtools::install_github("luisdamiano/LeastFracDiff", build_vignettes = TRUE)
vignette("ExampleSPY", package = "LeastFracDiff")
See vignette online here.
References
de Prado, M. L. (2018). Advances in financial machine learning. John Wiley & Sons.
luisdamiano/LeastFracDiff documentation built on May 10, 2019, 3:18 a.m.
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Least Fractional Differentiation Order
LeastFracDiff provides some minimal tools for finding an approximation to the least fractional difference order that transforms a time series into an stationary series, as suggested by de Prado (2018).
Usage
devtools::install_github("luisdamiano/LeastFracDiff", build_vignettes = TRUE)
vignette("ExampleSPY", package = "LeastFracDiff")
See vignette online here.
References
de Prado, M. L. (2018). Advances in financial machine learning. John Wiley & Sons.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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