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fracdiff: Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models
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".
| Version: |
1.5-3 |
| Imports: |
stats |
| Suggests: |
longmemo, forecast, urca |
| Published: |
2024-02-01 |
| Author: |
Martin Maechler 
[aut, cre],
Chris Fraley [ctb, cph] (S original; Fortran code),
Friedrich Leisch
[ctb] (R port),
Valderio Reisen [ctb] (fdGPH() & fdSperio()),
Artur Lemonte [ctb] (fdGPH() & fdSperio()),
Rob Hyndman [ctb]
(residuals() & fitted()) |
| Maintainer: |
Martin Maechler <maechler at stat.math.ethz.ch> |
| BugReports: |
https://github.com/mmaechler/fracdiff/issues |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
https://github.com/mmaechler/fracdiff |
| NeedsCompilation: |
yes |
| Materials: |
README ChangeLog |
| In views: |
Finance, TimeSeries |
| CRAN checks: |
fracdiff results |
Documentation:
Downloads:
Reverse dependencies:
| Reverse depends: |
tsqn |
| Reverse imports: |
DCSmooth, esemifar, forecast, LongMemoryTS, LPM, memochange, TSF, tsfeatures, ufRisk, WaveletANN, WaveletArima, WaveletGARCH, WaveletRF, WaveletSVR |
| Reverse suggests: |
CliftLRD, feasts, fractalRegression, liftLRD, sweep, timetk |
| Reverse enhances: |
longmemo |
Linking:
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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