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 = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

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

Uses libs:
  • openblas– Optimized BLAS

openblas

8.10 score 4 stars 251 packages 324 scripts 129k downloads 7 exports 0 dependencies

Last updated 10 months agofrom:0658711e80. Checks:OK: 2. Indexed: no.

TargetResultDate
Doc / VignettesOKDec 03 2024
R-4.5-linux-x86_64OKDec 03 2024

Exports:confint.fracdiffdiffseriesfdGPHfdSperiofracdifffracdiff.simfracdiff.var

Dependencies: