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).


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Reference manual

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install.packages("fracdiff")

1.4-2 by Martin Maechler, 7 years ago


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


Authors: 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.


Documentation:   PDF Manual  


Task views: Empirical Finance, Time Series Analysis


GPL (>= 2) license


Suggests longmemo, urca


Imported by ArfimaMLM, LPM, LongMemoryTS, TSF, WaveletANN, WaveletArima, forecast, mafs, sutteForecastR, tsfeatures.

Depended on by WaveLetLongMemory, tsqn.

Suggested by CliftLRD, liftLRD, mwaved, portes, sweep, timetk.

Enhanced by longmemo.


See at CRAN