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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 |
DOI: | 10.32614/CRAN.package.fracdiff |
Author: | Martin Maechler |
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 |
Reference manual: | fracdiff.pdf |
Package source: | fracdiff_1.5-3.tar.gz |
Windows binaries: | r-devel: fracdiff_1.5-3.zip, r-release: fracdiff_1.5-3.zip, r-oldrel: fracdiff_1.5-3.zip |
macOS binaries: | r-release (arm64): fracdiff_1.5-3.tgz, r-oldrel (arm64): fracdiff_1.5-3.tgz, r-release (x86_64): fracdiff_1.5-3.tgz, r-oldrel (x86_64): fracdiff_1.5-3.tgz |
Old sources: | fracdiff archive |
Reverse depends: | tsqn |
Reverse imports: | DCSmooth, esemifar, forecast, LongMemoryTS, LPM, memochange, TSF, tsfeatures, ufRisk, WaveletANN, WaveletArima, WaveletGARCH, WaveletRF, WaveletSVR |
Reverse suggests: | CliftLRD, feasts, liftLRD, sweep, timetk |
Reverse enhances: | longmemo |
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