fracdiff (1.5-1)

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Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models.

https://github.com/mmaechler/fracdiff
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); including inference and basic methods. Some alternative algorithms to estimate "H".

Maintainer: Martin Maechler
Author(s): Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch [ctb] (R port, <https://orcid.org/0000-0001-7278-1983>), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman [ctb] (residuals() & fitted(), <https://orcid.org/0000-0002-2140-5352>)

License: GPL (>= 2)

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

Released 30 days ago.


6 previous versions

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