This package is considered a duplicate. The official version of this package is found at:https://mmaechler.r-universe.dev/fracdiff
Package: fracdiff 1.5-3
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:
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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/mmaechler/fracdiff/issues
Last updated 10 months agofrom:0658711e80. Checks:OK: 2. Indexed: no.
Target | Result | Date |
---|---|---|
Doc / Vignettes | OK | Dec 03 2024 |
R-4.5-linux-x86_64 | OK | Dec 03 2024 |
Exports:confint.fracdiffdiffseriesfdGPHfdSperiofracdifffracdiff.simfracdiff.var
Dependencies:
Readme and manuals
Help Manual
Help page | Topics |
---|---|
Confidence Intervals for Fracdiff Model Parameters | confint.fracdiff |
Fractionally Differenciate Data | diffseries |
Geweke and Porter-Hudak Estimator for ARFIMA(p,d,q) | fdGPH |
Sperio Estimate for 'd' in ARFIMA(p,d,q) | fdSperio |
ML Estimates for Fractionally-Differenced ARIMA (p,d,q) models | fracdiff |
Many Methods for "fracdiff" Objects | coef.fracdiff fitted.fracdiff logLik.fracdiff print.fracdiff print.summary.fracdiff residuals.fracdiff summary.fracdiff vcov.fracdiff |
Simulate fractional ARIMA Time Series | fracdiff.sim |
Recompute Covariance Estimate for fracdiff | fracdiff.var |