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  [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()) |
| 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 |
Linking:
Please use the canonical formhttps://CRAN.R-project.org/package=fracdiffto link to this page.