CRAN/E | fracdiff

fracdiff

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

Installation

About

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".

github.com/mmaechler/fracdiff
Bug report File report

Key Metrics

Version 1.5-2
Published 2022-10-31 398 days ago
Needs compilation? yes
License GPL-2
License GPL-3
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Maintainer

Maintainer

Martin Maechler

maechler@stat.math.ethz.ch

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())

Material

README
ChangeLog
Reference manual
Package source

In Views

Finance
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macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Old Sources

fracdiff archive

Imports

stats

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Reverse Depends

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Reverse Imports

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Reverse Enhances

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