⚠️There's a newer version (1.8-2) of this package.Take me there.

arfima

An R time series library that mixes arima models with 3 types of long-memory processes: FDWN, FGN, and PLA (power-law autocovariance.)

Copy Link

Version

Install

install.packages('arfima')

Monthly Downloads

753

Version

1.8-1

License

MIT + file LICENSE

Maintainer

JQ (Justin) Veenstra

Last Published

August 19th, 2022

Functions in arfima (1.8-1)

arfima0

Exact MLE for ARFIMA The time series is corrected for the sample mean and then exact MLE is used for the other parameters. This is a simplified version of the arfima() function that may be useful in simulations and bootstrapping.

arfima.sim

Simulate an ARFIMA time series.

arfimachanges

Prints changes to the package since the last update. Started in 1.4-0

AIC.arfima

Information criteria for arfima objects

distance

The distance between modes of an arfima fit.

lARFIMAwTF

Exact log-likelihood of a long memory model with a transfer function model and series included Computes the exact log-likelihood of a long memory model with respect to a given time series as well as a transfer fucntion model and series. This function is not meant to be used directly.

fitted.arfima

Extract Model Fitted Values

logLik.arfima

Extract Log-Likelihood Values

residuals.arfima

Extract the Residuals of a Fitted Object

bestModes

Finds the best modes of an arfima fit.

IdentInvertQ

Checks invertibility, stationarity, and identifiability of a given set of parameters

sim_from_fitted

Simulate an ARFIMA time series from a fitted arfima object.

PacfToAR

Converts AR/MA coefficients from the PACF space to operator space

print.tacvf

Prints a tacvf object.

predict.arfima

Predicts from a fitted object.

lARFIMA

Exact log-likelihood of a long memory model

ARToPacf

Converts AR/MA coefficients from operator space to the PACF space

coef.arfima

Extract Model Coefficients

removeMode

Removes a mode from an arfima fit.

print.arfima

Prints a Fitted Object

tmpyr

Temperature Data

weed

Weeds out fits from a call to arfima that are too close to each other.

tacfplot

Plots the theoretical autocorralation functions (tacfs) of one or more fits.

vcov.arfima

Extracts the Variance-Covariance Matrix

summary.arfima

Extensive Summary of an Object

iARFIMA

The Fisher information matrix of an ARFIMA process

print.predarfima

Prints predictions and prediction intervals

SeriesJ

Series J, Gas Furnace Data

print.summary.arfima

Prints the output of a call to summary on an arfima object

arfima-package

Simulates, fits, and predicts persistent and anti-persistent time series. arfima

plot.tacvf

Plots the output from a call to tacvf

plot.predarfima

Plots the original time series, the predictions, and the prediction intervals for a predarfima object.

tacvf

Extracts the tacvfs of a fitted object

tacvfARFIMA

The theoretical autocovariance function of a long memory process.

arfima

Fit ARFIMA, ARIMA-FGN, and ARIMA-PLA (multi-start) models Fits ARFIMA/ARIMA-FGN/ARIMA-PLA multi-start models to times series data. Options include fixing parameters, whether or not to fit fractional noise, what type of fractional noise (fractional Gaussian noise (FGN), fractionally differenced white noise (FDWN), or the newly introduced power-law autocovariance noise (PLA)), etc. This function can fit regressions with ARFIMA/ARIMA-FGN/ARIMA-PLA errors via the xreg argument, including dynamic regression (transfer functions).