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fracdiff (version 1.5-3)

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

112,864

Version

1.5-3

License

GPL (>= 2)

Issues

2

Pull Requests

0

Stars

19

Forks

0

Maintainer

Martin Maechler

Last Published

February 1st, 2024

Functions in fracdiff (1.5-3)

fdSperio

Sperio Estimate for 'd' in ARFIMA(p,d,q)
confint.fracdiff

Confidence Intervals for Fracdiff Model Parameters
fracdiff.sim

Simulate fractional ARIMA Time Series
fracdiff.var

Recompute Covariance Estimate for fracdiff
fracdiff

ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models
diffseries

Fractionally Differenciate Data
fdGPH

Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)
fracdiff-methods

Many Methods for "fracdiff" Objects