fracdiff v1.4-2
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Fractionally differenced ARIMA aka ARFIMA(p,d,q) models
Maximum likelihood estimation of the parameters of a
fractionally differenced ARIMA(p,d,q) model (Haslett and
Raftery, Appl.Statistics, 1989).
Functions in fracdiff
| Name | Description | |
| 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 | |
| No Results! | ||
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Details
| Date | 2012-12-01 |
| License | GPL (>= 2) |
| Packaged | 2012-12-01 23:24:14 UTC; maechler |
| Repository | CRAN |
| Date/Publication | 2012-12-02 07:08:12 |
| suggests | longmemo , urca |
| Contributors | fdGPH, fdSperio, Artur Lemonte, S by Chris Fraley, U.Washington, Seattle. R port by Fritz Leisch at TU Wien, since, etc Valderio Reisen |
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