fracdiff (1.5-1)

0 users

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".

Maintainer: Martin Maechler
Author(s): 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(), <>)

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



  (0 votes)


  (0 votes)

Log in to vote.


No one has written a review of fracdiff yet. Want to be the first? Write one now.

Related packages: CADFtest, data.table, dlm, dse, dyn, dynlm, fame, fGarch, fNonlinear, fractal, sde, strucchange, timsac, tseries, TSdbi, tsDyn, tseriesChaos, tsfa, urca, vars(20 best matches, based on common tags.)

Search for fracdiff on google, google scholar, r-help, r-devel.

Visit fracdiff on R Graphical Manual.