nsarfima (version 0.2.0.0)
Methods for Fitting and Simulating Non-Stationary ARFIMA Models
Description
Routines for fitting and simulating data under autoregressive fractionally integrated moving average (ARFIMA) models, without the constraint of covariance stationarity. Two fitting methods are implemented, a pseudo-maximum likelihood method and a minimum distance estimator. Mayoral, L. (2007) . Beran, J. (1995) .