Package: fracdiff 1.5-3

Martin Maechler

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".

Authors:Martin Maechler [aut, cre], Chris Fraley [ctb, cph], Friedrich Leisch [ctb], Valderio Reisen [ctb], Artur Lemonte [ctb], Rob Hyndman [ctb]

fracdiff_1.5-3.tar.gz
fracdiff_1.5-3.tar.gz(r-4.5-noble)fracdiff_1.5-3.tar.gz(r-4.4-noble)
fracdiff_1.5-3.tgz(r-4.4-emscripten)fracdiff_1.5-3.tgz(r-4.3-emscripten)
fracdiff.pdf |fracdiff.html✨
fracdiff/json (API)

# Install 'fracdiff' in R:
install.packages('fracdiff', repos = 'https://cloud.r-project.org')

Bug tracker:https://github.com/mmaechler/fracdiff/issues

Uses libs:
  • openblas– Optimized BLAS

On CRAN:

Conda:r-fracdiff-1.5_2(2025-03-25)

openblas

6.54 score 4 stars 261 packages 112k downloads 7 exports 0 dependencies

Last updated 1 years agofrom:0658711e80. Checks:3 OK. Indexed: no.

TargetResultLatest binary
Doc / VignettesOKApr 02 2025
R-4.5-linux-x86_64OKApr 02 2025
R-4.4-linux-x86_64OKApr 02 2025

Exports:confint.fracdiffdiffseriesfdGPHfdSperiofracdifffracdiff.simfracdiff.var

Dependencies:

Citation

To cite package ‘fracdiff’ in publications use:

Maechler M (2024). fracdiff: Fractionally Differenced ARIMA aka ARFIMA(P,d,q) Models. R package version 1.5-3, https://CRAN.R-project.org/package=fracdiff.

Corresponding BibTeX entry: 

  @Manual{,
    title = {fracdiff: Fractionally Differenced ARIMA aka ARFIMA(P,d,q)
      Models},
    author = {Martin Maechler},
    year = {2024},
    note = {R package version 1.5-3},
    url = {https://CRAN.R-project.org/package=fracdiff},
  }