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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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Install
install.packages('fracdiff')
Monthly Downloads
132,909
Version
1.4-2
License
GPL (>= 2)
Maintainer
Martin Maechler
Last Published
December 2nd, 2012
Functions in fracdiff (1.4-2)
Search functions
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