Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

fracdiff

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".

Functions (8)

confint.fracdiff

Confidence Intervals for Fracdiff Model Parameters

diffseries

Fractionally Differenciate Data

fd-methods

Many Methods for "fracdiff" Objects

fdGPH

Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q)

fdSperio

Sperio Estimate for 'd' in ARFIMA(p,d,q)

fracdiff

ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models

fracdiff.sim

Simulate fractional ARIMA Time Series

fracdiff.var

Recompute Covariance Estimate for fracdiff

fracdiff

Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models

v1.5-1

GPL (>= 2)

Authors

Martin Maechler [aut, cre] (<https://orcid.org/0000-0002-8685-9910>), Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch [ctb] (R port, <https://orcid.org/0000-0001-7278-1983>), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman [ctb] (residuals() & fitted(), <https://orcid.org/0000-0002-2140-5352>)

Initial release

2020-01-20

fracdiff

Functions (8)

fracdiff

We don't support your browser anymore