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: 1.5-3 Imports: stats Suggests: longmemo, forecast, urca Published: 2024-02-01 DOI: 10.32614/CRAN.package.fracdiff Author: Martin Maechler [aut, cre], Chris Fraley [ctb, cph] (S original; Fortran code), Friedrich Leisch [ctb] (R port), Valderio Reisen [ctb] (fdGPH() & fdSperio()), Artur Lemonte [ctb] (fdGPH() & fdSperio()), Rob Hyndman [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 Documentation: Downloads: Reverse dependencies: Reverse depends: ForecastingEnsembles, tsqn Reverse imports: DCSmooth, esemifar, forecast, fracARMA, LPM, rugarch, TSF, tsfeatures, ufRisk, WaveletANN, WaveletArima, WaveletGARCH, WaveletRF, WaveletSVR Reverse suggests: CliftLRD, feasts, liftLRD, sweep, timetk Reverse enhances: longmemo Linking:Please use the canonical form https://CRAN.R-project.org/package=fracdiff to link to this page.
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