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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

87,945

Version

1.5-1

License

GPL (>= 2)

Issues

2

Pull Requests

0

Stars

20

Forks

0

Maintainer

Martin Maechler

Last Published

January 24th, 2020

Functions in fracdiff (1.5-1)

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