fracdiff (1.4-2)

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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).

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, tsqn, WaveLetLongMemory
Reverse suggests: CliftLRD, feasts, forecast, liftLRD, mwaved, portes, sweep, timetk
Reverse enhances: longmemo

Released almost 7 years ago.

4 previous versions



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