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fracdiff (version 1.4-2)

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).

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Version

Install

install.packages('fracdiff')

Monthly Downloads

84,919

Version

1.4-2

License

GPL (>= 2)

Maintainer

Martin Maechler

Last Published

December 2nd, 2012

Functions in fracdiff (1.4-2)

fdGPH

Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)
fdSperio

Sperio Estimate for 'd' in ARFIMA(p,d,q)
fracdiff

ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models
fracdiff.sim

Simulate fractional ARIMA Time Series
fracdiff-methods

Many Methods for "fracdiff" Objects
fracdiff.var

Recompute Covariance Estimate for fracdiff
diffseries

Fractionally Differenciate Data
confint.fracdiff

Confidence Intervals for Fracdiff Model Parameters