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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".
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Install
install.packages('fracdiff')
Monthly Downloads
172,671
Version
1.5-3
License
GPL (>= 2)
Issues
2
Pull Requests
0
Stars
17
Forks
0
Repository
https://github.com/mmaechler/fracdiff
Maintainer
Martin Maechler
Last Published
February 1st, 2024
Functions in fracdiff (1.5-3)
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fdSperio
Sperio Estimate for 'd' in ARFIMA(p,d,q)
confint.fracdiff
Confidence Intervals for Fracdiff Model Parameters
fracdiff.sim
Simulate fractional ARIMA Time Series
fracdiff.var
Recompute Covariance Estimate for fracdiff
fracdiff
ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models
diffseries
Fractionally Differenciate Data
fdGPH
Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)
fracdiff-methods
Many Methods for "fracdiff" Objects