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".
| 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 <maechler at stat.math.ethz.ch> |
| 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: | README ChangeLog |
| In views: | Finance, TimeSeries |
| CRAN checks: | fracdiff results |
Documentation:
| Reference manual: | fracdiff.pdf |
Downloads:
| Package source: | fracdiff_1.5-3.tar.gz |
| Windows binaries: | r-devel: fracdiff_1.5-3.zip, r-release: fracdiff_1.5-3.zip, r-oldrel: fracdiff_1.5-3.zip |
| macOS binaries: | r-release (arm64): fracdiff_1.5-3.tgz, r-oldrel (arm64): fracdiff_1.5-3.tgz, r-release (x86_64): fracdiff_1.5-3.tgz, r-oldrel (x86_64): fracdiff_1.5-3.tgz |
| Old sources: | fracdiff archive |
Reverse dependencies:
| Reverse depends: | tsqn |
| Reverse imports: | DCSmooth, esemifar, forecast, LongMemoryTS, LPM, memochange, rugarch, TSF, tsfeatures, ufRisk, WaveletANN, WaveletArima, WaveletGARCH, WaveletRF, WaveletSVR |
| Reverse suggests: | CliftLRD, feasts, liftLRD, sweep, timetk |
| Reverse enhances: | longmemo |
Linking:
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