fracdiff (1.4-2)

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Fractionally differenced ARIMA aka ARFIMA(p,d,q) models.

http://cran.r-project.org/web/packages/fracdiff

Maximum likelihood estimation of the parameters of a fractionally differenced ARIMA(p,d,q) model (Haslett and Raftery, Appl.Statistics, 1989).

Maintainer: Martin Maechler
Author(s): S original by Chris Fraley, U.Washington, Seattle. R port by Fritz Leisch at TU Wien; since 2003-12: Martin Maechler; fdGPH(), fdSperio(), etc by Valderio Reisen and Artur Lemonte.

License: GPL (>= 2)

Uses: longmemo, urca
Reverse depends: afmtools, forecast, WaveLetLongMemory
Reverse suggests: forecast, mwaved
Reverse enhances: longmemo

Released over 4 years ago.


4 previous versions

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