This package is considered a duplicate. The official version of this package is found at:https://mmaechler.r-universe.dev/fracdiff
Package: fracdiff 1.5-4
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:
fracdiff_1.5-4.tar.gz
fracdiff_1.5-4.tar.gz(r-4.7-arm64)fracdiff_1.5-4.tar.gz(r-4.7-x86_64)fracdiff_1.5-4.tar.gz(r-4.6-arm64)fracdiff_1.5-4.tar.gz(r-4.6-x86_64)
fracdiff_1.5-4.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
card.svg |card.png
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 from:0d0476394d. Checks:6 OK. Indexed: no.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 125 | ||
| linux-devel-x86_64 | OK | 115 | ||
| source / vignettes | OK | 168 | ||
| linux-release-arm64 | OK | 106 | ||
| linux-release-x86_64 | OK | 144 | ||
| wasm-release | OK | 128 |
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 |
