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".


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Reference manual

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install.packages("fracdiff")

1.5-1 by Martin Maechler, 4 months ago


https://github.com/mmaechler/fracdiff


Report a bug at https://github.com/mmaechler/fracdiff/issues


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


Authors: 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() ,


Documentation:   PDF Manual  


Task views: Empirical Finance, Time Series Analysis


GPL (>= 2) license


Imports stats

Suggests longmemo, forecast, urca


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

Depended on by WaveLetLongMemory, tsqn.

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

Enhanced by longmemo.


See at CRAN