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".

Version: 1.5-1
Imports: stats
Suggests: longmemo, forecast, urca
Published: 2020-01-24
Author: Martin Maechler ORCID iD [aut, cre], Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch ORCID iD [ctb] (R port), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman ORCID iD [ctb] (residuals() & fitted())
Maintainer: Martin Maechler <maechler at stat.math.ethz.ch>
BugReports: https://github.com/mmaechler/fracdiff/issues
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: https://github.com/mmaechler/fracdiff
NeedsCompilation: yes
Materials: README ChangeLog
In views: Finance, TimeSeries
CRAN checks: fracdiff results

Downloads:

Reference manual: fracdiff.pdf
Package source: fracdiff_1.5-1.tar.gz
Windows binaries: r-devel: fracdiff_1.5-1.zip, r-release: fracdiff_1.5-1.zip, r-oldrel: fracdiff_1.5-1.zip
macOS binaries: r-release: fracdiff_1.5-1.tgz, r-oldrel: fracdiff_1.5-1.tgz
Old sources: fracdiff archive

Reverse dependencies:

Reverse depends: tsqn
Reverse imports: forecast, LongMemoryTS, LPM, memochange, sutteForecastR, TSF, tsfeatures, WaveletANN, WaveletArima, WaveletGARCH
Reverse suggests: CliftLRD, feasts, GMZTests, liftLRD, mwaved, sweep, timetk
Reverse enhances: longmemo

Linking:

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