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fracdiff (version 1.5-1)
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); including inference and basic methods. Some alternative algorithms to estimate "H".
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Install
install.packages('fracdiff')
Monthly Downloads
172,671
Version
1.5-1
License
GPL (>= 2)
Issues
2
Pull Requests
0
Stars
17
Forks
0
Repository
https://github.com/mmaechler/fracdiff
Maintainer
Martin Maechler
Last Published
January 24th, 2020
Functions in fracdiff (1.5-1)
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fdSperio
Sperio Estimate for 'd' in ARFIMA(p,d,q)
fracdiff.var
Recompute Covariance Estimate for fracdiff
fracdiff.sim
Simulate fractional ARIMA Time Series
fracdiff
ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models
fdGPH
Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)
diffseries
Fractionally Differenciate Data
confint.fracdiff
Confidence Intervals for Fracdiff Model Parameters
fracdiff-methods
Many Methods for "fracdiff" Objects