Statistics for Long-Memory Processes (Book Jan Beran), and Related Functionality

Datasets and Functionality from 'Jan Beran' (1994). Statistics for Long-Memory Processes; Chapman & Hall. Estimation of Hurst (and more) parameters for fractional Gaussian noise, 'fARIMA' and 'FEXP' models.

The main purpose of this R package longmemo (and its predecessing S-plus scripts) has always been to provide

  • primarily the data sets
  • less importantly the code from chapter 12

of the book

  author = 	 {Jan Beran},
  title = 	 {Statistics for Long-Memory Processes},
  publisher = {Chapman \& Hall},
  year = 	 1994,
  series =	 {Monographs on Statistics and Applied Probability 61},
  address =	 NY

Jan Beran sent the necessary files to me (by e-mail on 1995-09-15) with explicit consent to make them available electronically.

		 Martin Maechler <[email protected]>
		 Sept.1995;  April, August 2002


Reference manual

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1.1-1 by Martin Maechler, 8 months ago

Browse source code at

Authors: S scripts originally by Jan Beran <[email protected]>; Datasets via Brandon Whitcher <[email protected]>. Toplevel R functions and much more by Martin Maechler.

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Imports graphics, utils, stats

Suggests sfsmisc

Enhances fracdiff

Imported by LongMemoryTS.

Suggested by AER, fracdiff.

See at CRAN