Methods for Fitting and Simulating Non-Stationary ARFIMA Models

Routines for fitting and simulating data under autoregressive fractionally integrated moving average (ARFIMA) models, without the constraint of stationarity. Two fitting methods are implemented, a pseudo-maximum likelihood method and a minimum distance estimator. Mayoral, L. (2007) . Beran, J. (1995) .


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install.packages("nsarfima")

0.1.0.0 by Benjamin Groebe, 10 months ago


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


Authors: Benjamin Groebe [aut, cre]


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 3) license



See at CRAN