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!

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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

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