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:
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 9 months agofrom:0658711e80. Checks:OK: 2. Indexed: no.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Oct 04 2024 |
| R-4.5-linux-x86_64 | OK | Oct 04 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 |
