fracdiff (version 1.5-3)

Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models

Description

Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989); including inference and basic methods. Some alternative algorithms to estimate "H".

Copy Link

Version

Down Chevron

Install

install.packages('fracdiff')

Monthly Downloads

172,671

Version

1.5-3

License

GPL (>= 2)

Issues

Pull Requests

Stars

Forks

Maintainer

Last Published

February 1st, 2024

Functions in fracdiff (1.5-3)