Fractional ARIMA (and Other Long Memory) Time Series Modeling

Simulates, fits, and predicts long-memory and anti-persistent time series, possibly mixed with ARMA, regression, transfer-function components. Exact methods (MLE, forecasting, simulation) are used. Bug reports should be done via GitHub (at < https://github.com/JQVeenstra/arfima>), where the development version of this package lives; it can be installed using devtools.


An R time series library that mixes arima models with 3 types of long-memory processes: FDWN, FGN, and PLA (power-law autocovariance.)

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Reference manual

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install.packages("arfima")

1.6-6 by JQ Veenstra, 4 months ago


Browse source code at https://github.com/cran/arfima


Authors: JQ (Justin) Veenstra [aut, cre], A.I. McLeod [aut]


Documentation:   PDF Manual  


Task views: Time Series Analysis


MIT + file LICENSE license


Imports parallel

Depends on ltsa


See at CRAN