longmemo v1.1-2
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Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality
Datasets and Functionality from
'Jan Beran' (1994). Statistics for Long-Memory Processes; Chapman & Hall.
Estimation of Hurst (and more) parameters for fractional Gaussian noise,
'fARIMA' and 'FEXP' models.
Readme
The main purpose of this R package longmemo (and its predecessing S-plus scripts)
has always been to provide
- primarily the data sets
- less importantly the code from chapter 12
of the book
@Book{BerJ94,
author = {Jan Beran},
title = {Statistics for Long-Memory Processes},
publisher = {Chapman \& Hall},
year = 1994,
series = {Monographs on Statistics and Applied Probability 61},
address = NY
}
Jan Beran sent the necessary files to me (by e-mail on 1995-09-15) with explicit consent to make them available electronically.
Martin Maechler <maechler@stat.math.ethz.ch>
Sept.1995; April, August 2002
Functions in longmemo
| Name | Description | |
| ckARMA0 | Covariances of a Fractional ARIMA(0,d,0) Process | |
| ckFGN0 | Covariances of a Fractional Gaussian Process | |
| ethernetTraffic | Ethernet Traffic Data Set | |
| plot.FEXP | Plot Method for FEXP and WhittleEst Model Fits | |
| per | Simple Periodogram Estimate | |
| WhittleEst | Whittle Estimator for Fractional Gaussian Noise / Fractional ARIMA | |
| Qeta | Approximate Log Likelihood for Fractional Gaussian Noise / Fractional ARIMA | |
| llplot | Log-Log and Log-X Plot of Spectrum | |
| NBSdiff1kg | NBS measurement deviations from 1 kg | |
| FEXPest | Fractional EXP (FEXP) Model Estimator | |
| CetaARIMA | Covariance for fractional ARIMA | |
| CetaFGN | Covariance Matrix of Eta for Fractional Gaussian Noise | |
| specFGN | Spectral Density of Fractional Gaussian Noise | |
| videoVBR | Video VBR data | |
| simGauss | Simulate (Fractional) Gaussian Processes | |
| specARIMA | Spectral Density of Fractional ARMA Process | |
| NhemiTemp | Northern Hemisphere Temperature | |
| NileMin | Nile River Minima, yearly 622--1284 | |
| No Results! | ||
Vignettes of longmemo
| Name | ||
| BspecFGN.Rnw | ||
| longmemo.bib | ||
| No Results! | ||
Last month downloads
Details
| Date | 2020-02-05 |
| BuildResaveData | no |
| License | GPL (>= 2) |
| NeedsCompilation | no |
| Packaged | 2020-02-05 11:11:23 UTC; maechler |
| Repository | CRAN |
| Date/Publication | 2020-02-06 06:20:16 UTC |
| enhances | fracdiff |
| imports | graphics , stats , utils |
| suggests | sfsmisc |
| Contributors | S scripts originally by Jan Beran Datasets via Br, Datasets Brandon Whitcher, much by Martin Maechler |
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