fracdiff: Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models (original) (raw)

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".

Version: 1.5-3
Imports: stats
Suggests: longmemo, forecast, urca
Published: 2024-02-01
DOI: 10.32614/CRAN.package.fracdiff
Author: Martin Maechler ORCID iD [aut, cre], Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch ORCID iD [ctb] (R port), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman ORCID iD [ctb] (residuals() & fitted())
Maintainer: Martin Maechler
BugReports: https://github.com/mmaechler/fracdiff/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/mmaechler/fracdiff
NeedsCompilation: yes
Materials: ,
In views: Finance, TimeSeries
CRAN checks: fracdiff results

Documentation:

Downloads:

Reverse dependencies:

Reverse depends: ForecastingEnsembles, tsqn
Reverse imports: esemifar, forecast, fracARMA, LPM, rugarch, TSF, tsfeatures, ufRisk, WaveletANN, WaveletArima, WaveletGARCH, WaveletRF, WaveletSVR
Reverse suggests: CliftLRD, feasts, liftLRD, sweep, timetk
Reverse enhances: longmemo

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