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).


Reference manual

It appears you don't have a PDF plugin for this browser. You can click here to download the reference manual.


1.4-2 by Martin Maechler, 7 years ago

Browse source code at

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