fracdiff v1.4-2


Monthly downloads



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!

Last month downloads


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

Include our badge in your README