fracdiff v1.4-2

0

Monthly downloads

0th

Percentile

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

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

Include our badge in your README

[![Rdoc](http://www.rdocumentation.org/badges/version/fracdiff)](http://www.rdocumentation.org/packages/fracdiff)